PORTFOLIO OPTIMIZATION BETWEEN CONDITIONAL VALUE AT RISK WITH MEAN-VARIANCE

Abstract

This independent study focus on the Portfolio Optimization of SET50's closed stock price without the dividend. It includes 6 assets from The Stock Exchange of Thailand that is a 240 data monthly type ranging from June 1998 to May 2018. Mean-Variance Portfolio Optimization is comparing Conditional Value at Risk Portfolio Optimization at confident level of 90, 95 and 99 percent in return per risk and volatility of return.

This results study show that Conditional Value at Risk Portfolio Optimization at confident level 90 percent given a minimum return per risk, when increasing confident level and return per risk rising up. Confident level at 99 percent is the maximum return per risk which is more than from Mean-Variance Portfolio. Considering from variance Mean-Variance Portfolio Optimization has the highest variance of return, and Conditional Value at Risk Portfolio Optimization at 99, 95 and 90 percent turn down by confident level.