Risk measure estimates in optimal portfolios | |||||
Model | No. of assets | Variance (Sigma) | Covariance | VaR (C.I of 95% ) | CVaR |
Mean-CVaR | 9 | - | 3.5993 | 3.8959 | 0.5816 |
MAD | 8 | - | 1.8806 | 2.5374 | 4.5954 |
MV | 8 | - | 1.8332 | 0.0441 | 2.4103 |
SMV | 8 | 2.7981 | 2.5374 | 0.1997 | 6.6736 |
ACE | 8 | 0.4938 | 4.0759 | 0.1997 | 6.6138 |