出版社：Associação Brasileira de Engenharia de Produção
摘要：Abstract This paper investigates the efficiency of traditional portfolio optimization models when the returns of financial assets are highly volatile, e.g., in financial crises periods. We also develop alternative optimization models that combine the mean absolute deviation (MAD) and the conditional value at risk (CVaR), attempting to mitigate inefficient, low return and/or high-risk, portfolios. Three methodologies for estimating the probability of the asset’s historical returns are also compared. By using historical data on the Brazilian stock market between 2004 and 2013, we analyze the efficiency of the proposed approaches. Our results show that the traditional models provide portfolios with higher returns, but our propose model are able to generate lower risk portfolios, which might be more attractive in volatile markets. In addition, we find that models that do not use equiprobable scenarios produce better results in terms of return and risk.
其他摘要：Abstract This paper investigates the efficiency of traditional portfolio optimization models when the returns of financial assets are highly volatile, e.g., in financial crises periods. We also develop alternative optimization models that combine the mean absolute deviation (MAD) and the conditional value at risk (CVaR), attempting to mitigate inefficient, low return and/or high-risk, portfolios. Three methodologies for estimating the probability of the asset’s historical returns are also compared. By using historical data on the Brazilian stock market between 2004 and 2013, we analyze the efficiency of the proposed approaches. Our results show that the traditional models provide portfolios with higher returns, but our propose model are able to generate lower risk portfolios, which might be more attractive in volatile markets. In addition, we find that models that do not use equiprobable scenarios produce better results in terms of return and risk.
