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