Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Incorporating Value-at-Risk in Portfolio Selection: An Evolutionary Approach

Authors
Chueh-Yung Tsao 0, Chao-Kung Liu
Corresponding Author
Chueh-Yung Tsao
0Department of Business Administration, Chang Gung University
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.321How to use a DOI?
Keywords
NSGA-II, mean-variance efficient frontier, mean-VaR efficient frontier, portfolio selection.
Abstract
The mean-variance framework for portfolio selection should be revised when investor’s concern is the downside risk. This is especially true when the asset returns are not normal. In this paper, we incorporate value-at-risk (VaR) in portfolio selection and the mean-VaR framework is proposed. Due to the two-objective optimization problem faced by the mean-VaR framework, an evolutionary multi-objective approach is applied to construct the mean-VaR efficient frontier. In particular, the NSGA-II is considered here. From the empirical analysis it is found that the risk-averse investor might inefficiently allocate his wealth if his decision is based on the mean-variance framework.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.321How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Chueh-Yung Tsao
AU  - Chao-Kung Liu
PY  - 2006/10
DA  - 2006/10
TI  - Incorporating Value-at-Risk in Portfolio Selection: An Evolutionary Approach
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.321
DO  - https://doi.org/10.2991/jcis.2006.321
ID  - Tsao2006/10
ER  -