Portfolio optimization of risky assets using mean-variance and mean-CvaR / Hannah Nadiah Abdul Razak... [et al.]

• Main Authors: Abdul Razak, Hannah Nadiah (Author), Maasar, Mohd. Azdi (Author), Hafidzuddin, Nur Hafidzah (Author), Chun Lee, Ernie Syufina (Author)
• Format: Book
• Published: Universiti Teknologi MARA, Negeri Sembilan, 2019.
• Subjects: Article; PeerReviewed
• Online Access: Link Metadata

The aim of this research is to apply the variance and conditional value-at-risk (CVaR) as risk measures in portfolio selection problem. Consequently, we are motivated to compare the behavior of two different type of risk measures (variance and CVaR) when the expected returns of a portfolio vary from...