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Portfolio optimisation using CVaR and downside risk-metrics

This work has been undertaken with Dr Seyed-Ali Hosseini-Yekani of Shiraz and Tabriz universities Iran. Dr Hosseini-Yekani visited FEMARC and the School for a period of 9 months in 2007/2008. Mr Abhay-Kumar Singh has also been working on this topic since joining FEMARC in June 2009. A variety of alternative programming routines have been developed using daily and higher frequency data to select portfolios.

Edith Cowan University

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Portfolio optimisation using CVaR and downside risk-metrics

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