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Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)

by Hegazy Zaher, Nisren Hassanen Mohamed
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 113 - Number 7
Year of Publication: 2015
Authors: Hegazy Zaher, Nisren Hassanen Mohamed
10.5120/19837-1691

Hegazy Zaher, Nisren Hassanen Mohamed . Minimization of Portfolio Risk using Three Different Methods (A Comparative Study). International Journal of Computer Applications. 113, 7 ( March 2015), 13-17. DOI=10.5120/19837-1691

@article{ 10.5120/19837-1691,
author = { Hegazy Zaher, Nisren Hassanen Mohamed },
title = { Minimization of Portfolio Risk using Three Different Methods (A Comparative Study) },
journal = { International Journal of Computer Applications },
issue_date = { March 2015 },
volume = { 113 },
number = { 7 },
month = { March },
year = { 2015 },
issn = { 0975-8887 },
pages = { 13-17 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume113/number7/19837-1691/ },
doi = { 10.5120/19837-1691 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T22:50:19.259972+05:30
%A Hegazy Zaher
%A Nisren Hassanen Mohamed
%T Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)
%J International Journal of Computer Applications
%@ 0975-8887
%V 113
%N 7
%P 13-17
%D 2015
%I Foundation of Computer Science (FCS), NY, USA
Abstract

Portfolio risk plays an important role in stock market decisions. This paper considers an alternative idea which is to compute the risk assuming fixed return. Three different methods used to study this problem. The given study suggests expressing the general index of a given stock market in terms of other countries stock markets. A comparison between the three proposed methods is conducted using three different measures of error (the Mean-Variance (MV), Mean-Absolute Deviation (MAD), Conditional Value-at-Risk (CVaR)). The obtained results show that there are significant differences between the used methods. It is recommended using the simplest one.

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Index Terms

Computer Science
Information Sciences

Keywords

Portfolio Risk Risk Minimization Stock Market Indicators Mean-Absolute Deviation Conditional Value-At-Risk Mean-Variance Return Maximization

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