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Journal Article
Optimal Portfolio and Performance-Risk Metric
2021
Overview
The aim of this study is to estimate the optimal portfolio weights for the mean-variance efficient optimal portfolio using linear programming technique for single and multiperiod using rebalance technique, then compare the performances and risk metrics with the equal weighted portfolio, we used in performance metrics Sharpe and Treynor ratios, CAPM Alpha and Beta, and for the risk metrics VaR and CVaR. We found that the MV optimal portfolio performed better and less risky than the equal-weighted portfolio for both single and multi periods.
Publisher
جامعة طاهري محمد، بشار - كلية العلوم الاقتصادية والعلوم التجارية وعلوم التسيير
Subject
