Sains Malaysiana 42(6)(2013): 875–880

Risk Measures and Portfolio Construction in Different Economic Scenarios

(Pengukuran Risiko dan Penjanaan Portfolio dalam Senario Ekonomi Berbeza)

Saiful Hafizah Jaaman*, Weng Hoe Lam & Zaidi Isa

Centre for Modelling and Data Analysis (DELTA), School of Mathematical Sciences

Faculty of Science and Technology, Universiti Kebangsaan Malaysia

43600 UKM Bangi, Selangor, Malaysia

Diserahkan: 18 Mei 2012/Diterima: 13 September 2012

ABSTRACT

This paper compared the composition and performance of portfolios constructed by employing different risk measures utilizing the Malaysian share market data in three diverse economic scenarios. The risk measures considered were the mean-variance (MV) and their alternatives; the semi-variance (SV), mean absolute deviation (MAD) and conditional value at risk (CVAR). The data were divided into three sub-periods representing the growth period in the economy, financial crisis and the recovery period. The results of this study showed different optimal portfolios’ performances and compositions for the three economic periods. Nevertheless, among the risk models tested, CVAR(0.99) model gave the highest portfolio skewness. High skewness means that the probability of getting large negative returns is decreased. As a conclusion, for the Malaysian stock market, the CVAR(0.99) model is the most appropriate portfolio optimization model for downside risk aversion investors in all three economic scenarios.

Keywords: Optimization; return; share market; skewness; variance

ABSTRAK

Kertas ini membandingkan komposisi dan prestasi portfolio yang dibina menggunakan pengukuran risiko berlainan ke atas data pasaran saham Malaysia dalam tiga senario ekonomi berbeza. Ukuran risiko yang dipertimbangkan ialah min-varians (MV) dan alternatifnya; semi-varians (SV), min sisihan mutlak (MAD) dan nilai bersyarat pada risiko (CVAR). Data dibahagi kepada tiga sub-tempoh yang mewakili tempoh pertumbuhan ekonomi, krisis kewangan dan tempoh pemulihan. Keputusan kajian menunjukkan prestasi dan komposisi portfolio yang optimum adalah berbeza bagi tiga tempoh ekonomi tersebut. Namun begitu, daripada model risiko yang diuji, model CVAR(0.99) memberikan kepencongan portfolio tertinggi. Kepencongan tinggi bermakna kebarangkalian mendapat pulangan negatif yang besar berkurangan. Kesimpulannya, untuk pasaran saham Malaysia, model CVAR(0.99) merupakan model pengoptimuman portfolio yang paling sesuai untuk pelaburan penghindaran risiko ke bawah dalam ketiga-tiga senario ekonomi.

Kata kunci: Kepencongan; pasaran saham; pengoptimuman; pulangan; varians

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*Pengarang untuk surat-menyurat; email: shj@ukm.my