How to Reduce Extreme Risk of the U.S. Tourism Indices? - Minimum-CVaR Portfolio Approach

[...]the tourism-dominated portfolios gain greater importance. First difference from the aforementioned paper is that we broaden analysis, including yet another tourism related index from NYSE - the Dow Jones hotel and logging (DJUSHL) index. [...]contribution of this paper is the fact that we const...

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Bibliographic Details
Published in:Finance a úvěr 2023-01, Vol.73 (1), p.81-103
Main Authors: Živkov, Dejan, Kovačević-Berleković, Bojana, Kicović, Dušan, Đurašković, Jasmina
Format: Article
Language:English
Subjects:
Coronaviruses
COVID-19
Digital currencies
Economic impact
Futures
Pandemics
Tourism
Online Access:Get full text
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Summary:[...]the tourism-dominated portfolios gain greater importance. First difference from the aforementioned paper is that we broaden analysis, including yet another tourism related index from NYSE - the Dow Jones hotel and logging (DJUSHL) index. [...]contribution of this paper is the fact that we construct two multivariate portfolios of seven assets. [...]difference vis-a-vis the paper of Sikiru and Salisu (in press) is related to the measurement of risk in the portfolios. [...]variance can be biased because it gives equal weight to positive and negative returns, while investors only want to know about negative returns. [...]a minimum-variance portfolio can lead to wrong conclusions and erroneous investment decisions.
ISSN:0015-1920
2464-7683
DOI:10.32065/CJEF.2023.01.04