EconPapers    
Economics at your fingertips  
 

A simulation comparison of risk measures for portfolio optimization

Marcelo Brutti Righi and Denis Borenstein

Finance Research Letters, 2018, vol. 24, issue C, 105-112

Abstract: In this paper, we compare risk measures regarding performance of optimal portfolio strategies. We consider eleven risk measures from different classes. In particular, we propose a formulation that generates from any loss measure, a deviation based on the dispersion of results worse than it, which leads to very interesting risk measures. We consider 198,000 portfolios composed by stocks of the U.S. equity market, considering different scenarios in a simulation framework. Results indicate there is no clearly dominant risk measure. Despite this lack of dominance, including deviation terms consistently exhibits advantages regarding performance.

Keywords: Risk measures; Loss-deviation; Portfolio selection; Simulation (search for similar items in EconPapers)
JEL-codes: C60 G10 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231730212X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112

DOI: 10.1016/j.frl.2017.07.013

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-05-02
Handle: RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112