Investment portfolios with alternative risk measures
semi-equity and absolute mean deviation
DOI:
https://doi.org/10.29201/peipn.v15i29.52Keywords:
portfolio optimization, rate or return, portfolio choiceAbstract
In this research an analysis is made between risk measures of an investment portfolio: variance, semivariance, absolute average deviation and Sharpe index, the optimal weights are determined for each measure of an investment portfolio consisting of 12 stocks listed on the Mexican Stock Exchange Index. The study period covers from january 01, 2015 to december 29, 2017. The models to optimize the four risk measures were programmed in Matlab 2017a and 100 optimal portfolios are generated to construct the efficient frontier of each measure. In order to assess the efficiency of the risk measures, an analysis of profitability of the portfolios that resulted from the optimization for a period of 92 days is executed. Under the previous assumptions, it is concluded that the semivariance and the absolute average deviation present a higher weighted return, while the portfolio that obtained a lower drop in value to the considered term was the portfolio with the variance approach and the one with greater drop in value was the portfolio with the Sharpe index.
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