Conditional Value-at-Risk for Portfolio Construction

• Main Authors: Shi-Bin Xiao, 蕭世彬
• Other Authors: Chin-Sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/90443499442701443364

碩士 === 雲林科技大學 === 財務金融系碩士班 === 99 === This study focuses on the performance of portfolio constructions among the constituent stocks of Taiwan 50 Index. Mean-CVaR model, James-Stein model, Minimum-Variance model, and Mean-Variance model are employed and examined on Taiwan 50 Index during the period of October 2000 to September 2010. Empirical results show that compared to Mean-Variance, James-Stein, and Minimum-Variance Models, the Mean CVaR Model has relatively higher expected return and lower level of risk; and has better performance from various evaluation indicators. Under the traditional construct of the Mean-Variance Model, the result displays that there is a phenomenon of large estimation error. Therefore, there is a significant difference in the results of the James-Stein, and Minimum-Variance Models.