### 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 language | English |
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Title of host publication | AIP Conference Proceedings |

Pages | 466-468 |

Number of pages | 3 |

Volume | 1557 |

DOIs | |

Publication status | Published - 2013 |

Event | International Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013 - Kuala Lumpur Duration: 5 Feb 2013 → 7 Feb 2013 |

### Other

Other | International Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013 |
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City | Kuala Lumpur |

Period | 5/2/13 → 7/2/13 |

### Fingerprint

### Keywords

- portfolio optimization
- Risk
- variance

### ASJC Scopus subject areas

- Physics and Astronomy(all)

### Cite this

*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.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

*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

}

TY - GEN

T1 - Risk modelling in portfolio optimization

AU - Lam, W. H.

AU - Jaaman @ Sharman, Saiful Hafizah

AU - Isa, Zaidi

PY - 2013

Y1 - 2013

N2 - 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.

AB - 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.

KW - portfolio optimization

KW - Risk

KW - variance

UR - http://www.scopus.com/inward/record.url?scp=84887097969&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84887097969&partnerID=8YFLogxK

U2 - 10.1063/1.4823957

DO - 10.1063/1.4823957

M3 - Conference contribution

SN - 9780735411838

VL - 1557

SP - 466

EP - 468

BT - AIP Conference Proceedings

ER -