Document Type : Research Article
Authors
1 University of Guilan
2 Qatar University
Abstract
The use of variance as a risk measure is limited by its non-coherent
nature. On the other hand, standard deviation has been demonstrated as a
coherent and effective measure of market volatility. This paper suggests the
use of standard deviation in portfolio optimization problems with cardinality
constraints and short selling, specifically in the mean-conditional value-at risk
framework. It is shown that, subject to certain conditions, this approach leads
to lower standard deviation. Empirical results obtained from experiments on
the SP index data set from 2016-2021 using various numbers of stocks and
confidence levels indicate that the proposed model outperforms existing models
in terms of Sharpe ratios.
Keywords
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