Research Article

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

Table 3

Out-of-sample performance of portfolios.

EW

Variance3.6091.6743.3261.9373.1581.9862.787
CVaR3.8362.9983.9983.2103.8273.1873.985
Avg return0.0060.061−0.0590.075−0.0650.03800.017