Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks : open access journal 8 (2020) 4/126, pp. 1-23
We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk...