An empirical analysis of the cardinality constrained expectile-based VaR portfolio optimization problem

作者：

Highlights：

• An EVaR optimization model is developed for the Cardinality Constrained PO.

• The performance of EVaR model is tested on data from two stock markets.

• The performance of the model is compared with that of CVaR model.

• The results reveal the superior risk-adjusted return performance of EVaR model.

摘要

•An EVaR optimization model is developed for the Cardinality Constrained PO.•The performance of EVaR model is tested on data from two stock markets.•The performance of the model is compared with that of CVaR model.•The results reveal the superior risk-adjusted return performance of EVaR model.

论文关键词：Expectiles,Portfolio optimization,Cardinality constraints,CVaR

论文评审过程：Received 25 October 2020, Revised 7 July 2021, Accepted 3 August 2021, Available online 8 August 2021, Version of Record 11 August 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115724