Abstract
This paper proposes an operational founded model for portfolio optimization. The procedure used is based on the redacting ofthe asymmetry impact of the variance. This is a new approach that givesassets more accurate risk measures. The risk adjustment is based on the measure of volatility skewness andthe goal here is to eliminate noisy risk.Moreover, we give our risk asymmetrical effect,according to the means of each asset.
Highlights
The stock market collapse in 2008 inadvertently highlighted the importance of market risk in portfolio management
The portfolio optimization problem consists of choosing a specific number of assets that meet investors' objectives, Mansinia et al (2014).The most recent research topic involves calculating the proportion of the initial budget that should be allocated in the available securities
The mean-variance model plays an important role in portfolio management
Summary
The stock market collapse in 2008 inadvertently highlighted the importance of market risk in portfolio management. The study of portfolio risk management goes back to the fundamental work of Markowitz in 1952.Markowitz was the first to propose the mean-variance optimization framework. The mean-variance model plays an important role in portfolio management. The mean-variance analysis is essential to many asset pricing theories. Dissemination, and adoption in the financial field, the theory of mean-variance optimization has been the subject of strong criticism since its publication. Numerous practitioners have reported some complications in implementing mean-variance analysis
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