Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint

Análise de risco em otimização multiobjetivo de carteiras com restrição de cardinalidade

dc.creatorCardoso, Rodrigo T.N.
dc.creatorBarroso, Bruno Cândido
dc.creatorde Oliveira, Mariana dos Santos
dc.creatorPaiva, Felipe Dias
dc.date2019-10-15
dc.date.accessioned2022-11-03T20:59:33Z
dc.date.available2022-11-03T20:59:33Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/78130
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5044625
dc.descriptionPortfolio selection has been the subject of extensive studies in order to obtain increased returns, minimizing the investment risk. However, the most appropriate risk measure to be considered is still an open problem. The aim of this work is to study different risk measures in the multiobjective portfolios optimization with cardinality constraint and rebalancing. The in-sample analysis compares the fronts of each algorithm, metric and range of cardinality, and out-of-sample analysis compares the results of each measure of risk with each other and with two benchmarks. The returns of portfolios are compared in terms of assets choice and assignment of weights. Statistical tests are performed to verify if any measure of risk shows some superiority. Results indicate that downside risk measures can reduce the cardinality and the risk of financial drawdown without reducing drawup, once they are able to reduce just the negative historical returns scenarios.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherLociedade Brasileira de Finançasen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/78130/77109
dc.rightsCopyright (c) 2019 Revista Brasileira de Finançaspt-BR
dc.sourceBrazilian Review of Finance; Vol. 17 No. 3 (2019): July-September; 26-46en-US
dc.sourceRevista Brasileira de Finanças; v. 17 n. 3 (2019): Julho-Setembro; 26-46pt-BR
dc.source1984-5146
dc.source1679-0731
dc.subjectRisk measuresen-US
dc.subjectCardinality constrainten-US
dc.subjectPortfolio optimizationen-US
dc.subjectMultiobjective optimization.en-US
dc.subjectG11en-US
dc.subjectG32en-US
dc.titleAnalysis of risk measures in multiobjective optimization portfolios with cardinality constrainten-US
dc.titleAnálise de risco em otimização multiobjetivo de carteiras com restrição de cardinalidadept-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeDouble blind reviewed articlesen-US
dc.typeCase Studiesen-US
dc.typeAvaliado por Parespt-BR


Este ítem pertenece a la siguiente institución