Measuring the Efficiency of Mean-VaR Portfolio Selection with Real Constraints

ZENG Yongquan; ZHANG Peng

doi:10.6054/j.jscnun.2020066

Journal of South China Normal University (Natural Science Edition) > 2020 > 52(4): 95-103. > DOI: 10.6054/j.jscnun.2020066

ZENG Yongquan, ZHANG Peng. Measuring the Efficiency of Mean-VaR Portfolio Selection with Real Constraints[J]. Journal of South China Normal University (Natural Science Edition), 2020, 52(4): 95-103. DOI: 10.6054/j.jscnun.2020066

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Measuring the Efficiency of Mean-VaR Portfolio Selection with Real Constraints

ZENG Yongquan¹,
ZHANG Peng^2, ,

1.
College of Humanities and Social Sciences, Zhongkai University of Agriculture and Engineering, Guangzhou 510225, China
2.
School of Economics and Management, South China Normal University, Guangzhou 510006, China

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Received Date: June 26, 2019
Available Online: March 21, 2021

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Abstract

Abstract

A mean-VaR model with the transaction costs, borrowing constraints, threshold constraints and cardinality constraints is proposed. As it is very difficult to solve the proposed model, the practical use of the model is limited. So the mean-VaR portfolio DEA performance evaluation model with real constraints is proposed. By constructing the frontier of the DEA model to approximate the real frontier, the efficiency evaluation of the constructed portfolio performance evaluation model is carried out. Finally, the weekly stock trading data of Shanghai stock market is used for empirical research. The results show that as the sample size increases, the frontier of the DEA is closer to the real frontier.
- portfolio evaluation,
- mean-VaR,
- efficiency evaluation,
- data envelopment analysis,
- cardinality constraints

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References (25)

References

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