Risk modelling in portfolio optimization

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Risk management is very important in portfolio optimization. The mean-variance model has been used in portfolio optimization to minimize the investment risk. The objective of the mean-variance model is to minimize the portfolio risk and achieve the target rate of return. Variance is used as risk measure in the mean-variance model. The purpose of this study is to compare the portfolio composition as well as performance between the optimal portfolio of mean-variance model and equally weighted portfolio. Equally weighted portfolio means the proportions that are invested in each asset are equal. The results show that the portfolio composition of the mean-variance optimal portfolio and equally weighted portfolio are different. Besides that, the mean-variance optimal portfolio gives better performance because it gives higher performance ratio than the equally weighted portfolio.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
Pages466-468
Number of pages3
Volume1557
DOIs
Publication statusPublished - 2013
EventInternational Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013 - Kuala Lumpur
Duration: 5 Feb 20137 Feb 2013

Other

OtherInternational Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013
CityKuala Lumpur
Period5/2/137/2/13

Fingerprint

optimization
risk management
proportion

Keywords

  • portfolio optimization
  • Risk
  • variance

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Lam, W. H., Jaaman @ Sharman, S. H., & Isa, Z. (2013). Risk modelling in portfolio optimization. In AIP Conference Proceedings (Vol. 1557, pp. 466-468) https://doi.org/10.1063/1.4823957

Risk modelling in portfolio optimization. / Lam, W. H.; Jaaman @ Sharman, Saiful Hafizah; Isa, Zaidi.

AIP Conference Proceedings. Vol. 1557 2013. p. 466-468.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Lam, WH, Jaaman @ Sharman, SH & Isa, Z 2013, Risk modelling in portfolio optimization. in AIP Conference Proceedings. vol. 1557, pp. 466-468, International Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013, Kuala Lumpur, 5/2/13. https://doi.org/10.1063/1.4823957
Lam WH, Jaaman @ Sharman SH, Isa Z. Risk modelling in portfolio optimization. In AIP Conference Proceedings. Vol. 1557. 2013. p. 466-468 https://doi.org/10.1063/1.4823957
Lam, W. H. ; Jaaman @ Sharman, Saiful Hafizah ; Isa, Zaidi. / Risk modelling in portfolio optimization. AIP Conference Proceedings. Vol. 1557 2013. pp. 466-468
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