Open AccessMean- Adjusted Variance Model for Portfolio Optimization
Author(s) -
Adil Moghara et. al.
Publication year - 2021
Publication title -
türk bilgisayar ve matematik eğitimi dergisi
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.218
H-Index - 3
ISSN - 1309-4653
DOI - 10.17762/turcomat.v12i5.1733
Subject(s) - skewness , portfolio optimization , portfolio , variance (accounting) , volatility (finance) , econometrics , computer science , measure (data warehouse) , risk measure , asset (computer security) , mathematics , economics , data mining , finance , accounting , computer security
This paper proposes an operational founded model for portfolio optimization. The procedure used is based on the redacting ofthe asymmetry impact of the variance. This is a new approach that givesassets more accurate risk measures. The risk adjustment is based on the measure of volatility skewness andthe goal here is to eliminate noisy risk.Moreover, we give our risk asymmetrical effect,according to the means of each asset.