CVaR in Portfolio Optimization: An Essay on the French Market

Houda Hafsa

International Journal of Financial Research, 2015, vol. 6, issue 2, 101-111

Abstract: There has been a growing interest in CVaR as a financial risk measure in optimal allocation fields. This interest is based many key advantages of CVaR over the most used measures of risk: the Value-at-Risk and the variance. In this paper we develop an asset allocation model that allocates assets by minimizing CVaR subject to a desired expected return and we compare the performance of the resulting optimal portfolios with those resulting from the optimization of mean-variance model. The empirical study uses stocks from the SBF250 index. The purpose of the paper is to highlight the influence of the non-normal characteristics of the return distribution on the optimal asset allocation and test the superiority of the mean- CVaR approach over the mean-variance approach.

Keywords: portfolio optimization; VaR; CVaR; portfolio performance; non- normal distributions (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:101-111

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