Comparison of Optimal Portfolio Performance Based on Value at Risk and Upside Risk with Conventional Models
The present study compares the performance of optimal portfolio based on Value at Risk and Upside Risk with conventional models (the optimal portfolio based on Markowitz model). The purpose of this study is to select the optimal portfolio based on the proposed model in three scenarios: 1- potential and risk averse investor 2- neutral potential and risk averse 3- avertive potential and risk aversion; perform them with optimal portfolio Compare to the Markowitz model. For this aim, we calculated the monthly returns of 50 most active Tehran Stock Exchange companies over a seven-year period of 91-97. Used four years of data(91-94) to build the model and determine the efficient frontier. Use the criterion of value at risk as undesirable risk measure and covariance upper partial moment- CUPM as desirable potential measure. And this procedure was repeated for 36 months of model test data. To calculation of model parameters using Eviews11 software.To solve the Markowitz quadratic programming from MATLAB software and to solve the proposed nonlinear programming problem from GAMS software and to test the hypotheses and compare the results of the two models with longitudinal studies method with repeated measurements to SPSS software was used.The results show that Updating the model, efficient frontier, as well as applying the criterion of value at risk and paying attention to investor orientations in terms of tendency to optimal potentials and risk aversion lead to optimized portfolio performance.
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