Research Article
Stable Portfolio Selection Strategy for Mean-Variance-CVaR Model under High-Dimensional Scenarios
Table 3
Out-of-sample performance of portfolios.
| | | | | EW | | | | | | |
| Variance | 3.609 | 1.674 | 3.326 | 1.937 | 3.158 | 1.986 | 2.787 | CVaR | 3.836 | 2.998 | 3.998 | 3.210 | 3.827 | 3.187 | 3.985 | Avg return | 0.006 | 0.061 | −0.059 | 0.075 | −0.065 | 0.0380 | 0.017 |
|
|