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http://dx.doi.org/10.7236/JIIBC.2022.22.1.103

Portfolio Optimization of Diversified Investments with Minimum Risk Asset and Non-Positive Correlation Assets  

Lee, Sang-Un (Dept. of Multimedia Eng., Gangneung-Wonju National University)
Publication Information
The Journal of the Institute of Internet, Broadcasting and Communication / v.22, no.1, 2022 , pp. 103-110 More about this Journal
Abstract
This paper deals with portfolio optimization problem that you could lower the total risk of an investment portfolio by adding risky assets to the mix than the minimum risk of single asset. Popular Markowitz's mean-variance(MV) model construct the portfolio with the point in the efficient frontier using principle of domination where the variance is minimized for a given mean return. While this paper suggest the portfolio with minimum risk asset with non-positive(negative and uncorrelated) correlation assets to it. As a result of experiments, the proposed method shows lower risk(standard deviation) than MV.
Keywords
asset; portfolio optimization; risk measures; mean-variance; non-positive correlation;
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