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论文类型：期刊论文

发表时间：2017-01-01

发表刊物：JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT

收录刊物：Scopus、SSCI

卷号：18

期号：4

页面范围：561-584

ISSN号：1611-1699

关键字：Value-at-Risk; transaction costs; estimation risk; portfolio optimization; scaled and stabilized portfolio; downside risk

摘要：This paper studies a portfolio optimization problem with variance and Entropic Value-at-Risk (EVaR) as risk measures. As the variance measures the deviation around the expected return, the introduction of EVaR in the mean-variance framework helps to control the downside risk of portfolio returns. This study utilized the squared l(2)-norm to alleviate estimation risk problems arising from the mean estimate of random returns. To adequately represent the variance-EVaR risk measure of the resulting portfolio, this study pursues rescaling by the capital accessible after payment of transaction costs. The results of this paper extend the classical Markowitz model to the case of proportional transaction costs and enhance the efficiency of portfolio selection by alleviating estimation risk and controlling the downside risk of portfolio returns. The model seeks to meet the requirements of regulators and fund managers as it represents a balance between short tails and variance. The practical implications of the findings of this study are that the model when applied, will increase the amount of capital for investment, lower transaction cost and minimize risk associated with the deviation around the expected return at the expense of a small additional risk in short tails.