Portfolio optimisation using alternative risk measures

dc.contributor.authorLorimer, Douglas Austen
dc.contributor.authorVan Schalkwyk, Cornelis Hendrik
dc.contributor.authorSzczygielski, Jan Jakub
dc.contributor.emailhenco.vs@up.ac.za
dc.date.accessioned2025-07-09T10:53:32Z
dc.date.available2025-07-09T10:53:32Z
dc.date.issued2024-09
dc.descriptionDATA AVAILABILITY : Available upon request.
dc.description.abstractWe 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.departmentFinancial Management
dc.description.librarianam2025
dc.description.sdgSDG-08: Decent work and economic growth
dc.description.urihttps://www.sciencedirect.com/journal/finance-research-letters
dc.identifier.citationLorimer, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2024.105758
dc.identifier.urihttp://hdl.handle.net/2263/103248
dc.language.isoen
dc.publisherElsevier
dc.rights© 2024 The Authors. This is an open access article under the CC BY-NC-ND license.
dc.subjectPortfolio optimisation
dc.subjectReturns
dc.subjectSharpe ratio
dc.subjectRisk measures
dc.subjectForecasting
dc.subjectExponentially weighted moving average (EWMA)
dc.titlePortfolio optimisation using alternative risk measures
dc.typeArticle

Files

Original bundle

Now showing 1 - 2 of 2
Loading...
Thumbnail Image
Name:
Lorimer_Portfolio_2024.pdf
Size:
1.86 MB
Format:
Adobe Portable Document Format
Description:
Article
Loading...
Thumbnail Image
Name:
Lorimer_PortfolioSuppl1_2024.pdf
Size:
175.13 KB
Format:
Adobe Portable Document Format
Description:
Supplementary Material

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: