Portfolio optimisation using alternative risk measures
dc.contributor.author | Lorimer, Douglas Austen | |
dc.contributor.author | Van Schalkwyk, Cornelis Hendrik | |
dc.contributor.author | Szczygielski, Jan Jakub | |
dc.contributor.email | henco.vs@up.ac.za | |
dc.date.accessioned | 2025-07-09T10:53:32Z | |
dc.date.available | 2025-07-09T10:53:32Z | |
dc.date.issued | 2024-09 | |
dc.description | DATA AVAILABILITY : Available upon request. | |
dc.description.abstract | We use a numerical methods algorithm based on gradient descent to optimise investment portfolios of global indices using raw and forecasted risk measures at differing frequencies. The results permit a comparison of how the characteristics of risk measures other than the variance and standard deviation impact portfolio performance. Asymmetric risk measures result in superior portfolio returns, while risk measures incorporating unsquared deviations outperform those incorporating squared deviations. Risk measures forecasted using the exponentially weighted moving average (EWMA) methodology do not yield significant increases in portfolio returns. Semi-absolute deviation, mean absolute deviation and downside semi-deviation perform favourably in producing higher returns. | |
dc.description.department | Financial Management | |
dc.description.librarian | am2025 | |
dc.description.sdg | SDG-08: Decent work and economic growth | |
dc.description.uri | https://www.sciencedirect.com/journal/finance-research-letters | |
dc.identifier.citation | Lorimer, D.A., Van Schalkwyk, C.H. & Szczygielski, J.J. 2024, 'Portfolio optimisation using alternative risk measures', Finance Research Letters, vol. 67, art. 105758, pp. 1-13. https://doi.org/10.1016/j.frl.2024.105758. | |
dc.identifier.issn | 1544-6123 (print) | |
dc.identifier.issn | 1544-6131 (online) | |
dc.identifier.other | 10.1016/j.frl.2024.105758 | |
dc.identifier.uri | http://hdl.handle.net/2263/103248 | |
dc.language.iso | en | |
dc.publisher | Elsevier | |
dc.rights | © 2024 The Authors. This is an open access article under the CC BY-NC-ND license. | |
dc.subject | Portfolio optimisation | |
dc.subject | Returns | |
dc.subject | Sharpe ratio | |
dc.subject | Risk measures | |
dc.subject | Forecasting | |
dc.subject | Exponentially weighted moving average (EWMA) | |
dc.title | Portfolio optimisation using alternative risk measures | |
dc.type | Article |
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