The optimal portfolio model based on multivariate t distribution with linear weighted sum method
Journal Title: E3 Journal of Business Management and Economics - Year 2012, Vol 3, Issue 1
Abstract
This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield is subject to the multivariate t distribution. With linear weighted sum method, we solved the multi-objectives model, and compared the model results to the case under the assumption of normal distribution return, based on the portfolio VAR through empirical research. It is showed that our max return equals to and risk is higher than M-V model. It shows that CVaR predicts the potential risk of the portfolio, which is helpful for investor’s cautious investment.
Authors and Affiliations
Yu Xing
Keywords
Related Articles
- EP ID EP140150
- DOI -
- Views 128
- Downloads 0
An assessment of the distribution of Petroleum products in Nigeria
This study aimed to highlight the concepts of organizational memory and intellectual capital and to investigate the impact of organizational memory on intellectual capital by the staff of Gaza Power Generating Company. U...
The adoption of electronic data interchange (EDI) technology by Nigerian SMEs: A conceptual framework
In these days, the adoption of information technology (IT) in business operations is no longer privilege to large organizations; Small-Medium-Enterprises are also trying to adopt the IT in process of gaining the benefits...
0-1 integer interval number programming approach for the multilevel generalized assignment problem
In this paper, an approach is suggested to solve the multilevel generalized assignment problem with 0-1 integer interval number programming. The multilevel generalized assignment problem (MGAP) differs from the classical...
Measuring the effects of labour productivity on ASEAN5 plus 3 economic growth
This paper analyses the effects of labour productivity, capital deepening and total factor productivity (TFP) intensity in ASEAN5 (Malaysia, Indonesia, Philippines, Singapore and Thailand) plus 3 (China, Japan and South...
China’s expanding engagement in Africa as a global influence
This paper examines the performance, promotion, and prospects for foreign direct investment (FDI) in Africa. Factors such as political and macroeconomic instability, low growth, weak infrastructure, poor governance, inho...