EFFECTS OF APPLYING DIFFERENT RISK MEASURES ON THE OPTIMAL PORTFOLIO SELECTION: THE CASE OF THE BELGRADE STOCK EXCHANGE

Jelena Z. Stanković, Evica Petrović, Ksenija Denčić-Mihajlov

DOI Number
https://doi.org/10.22190/FUEO191016002S
First page
017
Last page
026

Abstract


Despite its wide use in practice, Modern Portfolio Theory and Markowitz’s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism. Therefore, standard Mean-Variance approach had been modified by applying more appropriate risk measures in optimization algorithm. The aim of this paper is to indicate efficiency of these models as well as justification of their usage in managing stocks portfolio on the Belgrade Stock Exchange.

Keywords

portfolio optimization, alternative risk measures, Belgrade Stock Exchange

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DOI: https://doi.org/10.22190/FUEO191016002S

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