Stable Portfolio Selection Strategy for Mean-Variance-CVaR Model under High-Dimensional Scenarios

Table 2

Out-of-sample performance of –.

	Variance	5.0235	4.6044	4.3821	4.2897	4.9986
		(0.3525)	(0.3281)	(0.3163)	(0.3111)	(0.3121)
	CVaR	10.0812	9.2110	8.7280	8.5244	9.9947
		(0.9708)	(0.9307)	(0.9299)	(0.9324)	(0.9786)
	Exp return	0.2389	0.2076	0.1996	0.2205	0.31
		(0.4227)	(0.3950)	(0.3855)	(0.3894)	(0.4571)
	Variance	1.3405	1.5978	1.9141	2.3783	5.1578
		(0.1919)	(0.2613)	(0.3365)	(0.4369)	(0.9564)
	CVaR	2.5983	3.0591	3.6541	4.5752	9.9947
		(0.2618)	(0.3213)	(0.3635)	(0.4496)	(0.9786)
	Exp return	0.1939	0.1817	0.1974	0.1690	0.31
		(0.1226)	(0.1438)	0.1729)	(0.2176)	(0.4571)
	Variance	1.3405	1.5978	1.9141	2.3783	5.1578
		(0.1919)	(0.2613)	(0.3365)	(0.4369)	(0.9564)
	CVaR	2.5983	3.0591	3.6541	4.5752	9.9947
		(0.2618)	(0.3213)	(0.3635)	(0.4496)	(0.9786)
	Exp return	0.1939	0.1817	0.1974	0.1690	0.31
		(0.1226)	(0.1438)	(0.1729)	(0.2176)	(0.4571)
	Variance	1.1758	1.1934	1.2232	1.2782	1.2769
		(0.0837)	(0.0815)	(0.0795)	(0.0802)	(0.0764)
	CVaR	2.4739	2.4997	2.5401	2.6587	2.6631
		(0.25	(0.2670)	(0.2751)	(0.2882)	(0.2867)
	Exp return	0.0772	0.0816	0.0925	0.0962	0.0917
		(0.1092)	(0.1112)	(0.1148)	(0.1215)	(0.1199)
	Variance	1.1223	1.1632	1.1830	1.2094	1.2274
		(0.0769)	(0.0769)	(0.0744)	(0.0738)	(0.0705)
	CVaR	2.3334	2.4151	2.4395	2.4956	2.5304
		(0.2407)	(0.2570)	(0.2625)	(0.2770)	(0.2750)
	Exp return	0.08499	0.0852	0.0917	0.0956	0.0976
		(0.1026)	(0.1071)	(0.1092)	(0.1142)	(0.1145)