COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun

Financial decisions are made in the presence of trade-offs because there is imperfect information about the future asset returns according to one fundamental financial theory. After the COVID-19 pandemic, due to the increase in asset prices brought on by the slowing of economic activity, stock price...

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Main Authors:	Nor Zlan, Alyaa Uzma, Mohamed Jalaludin, Nazira Suhana, Harun, Siti Norhafieza
Format:	Thesis
Language:	English
Published:	2023
Subjects:	Dissertations, Academic Preparation of theses
Online Access:	https://ir.uitm.edu.my/id/eprint/93459/1/93459.pdf
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id	my-uitm-ir.93459
record_format	uketd_dc
spelling	my-uitm-ir.934592024-04-16T01:35:56Z COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun 2023 Nor Zlan, Alyaa Uzma Mohamed Jalaludin, Nazira Suhana Harun, Siti Norhafieza Dissertations, Academic. Preparation of theses Financial decisions are made in the presence of trade-offs because there is imperfect information about the future asset returns according to one fundamental financial theory. After the COVID-19 pandemic, due to the increase in asset prices brought on by the slowing of economic activity, stock prices have recovered since their drop. There are some methods used by researchers which can be minimised the worst case by using Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), mean-VaR, mean-CVaR and others. Numerous studies have found that the mean-CVaR framework performs better than the mean-VaR framework when it comes to managing financial assets in the portfolio. The research objectives of this study are to construct the risk minimising portfolios of Malaysia’s tourism assets for three different periods using mean-CVaR model, comparing the risk measures (in terms CVaR) of the portfolio of tourism assets for before, during and after COVID-19 pandemic and validating the results obtained by using out-of-sample analyses. The mean-CVaR model used in this study is formulated in Rockafellar and Uryasev (2000). 2023 Thesis https://ir.uitm.edu.my/id/eprint/93459/ https://ir.uitm.edu.my/id/eprint/93459/1/93459.pdf text en public Universiti Teknologi MARA, Negeri Sembilan College of Computing, Informatics and Media
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
topic	Dissertations, Academic Preparation of theses
spellingShingle	Dissertations, Academic Preparation of theses Nor Zlan, Alyaa Uzma Mohamed Jalaludin, Nazira Suhana Harun, Siti Norhafieza COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
description	Financial decisions are made in the presence of trade-offs because there is imperfect information about the future asset returns according to one fundamental financial theory. After the COVID-19 pandemic, due to the increase in asset prices brought on by the slowing of economic activity, stock prices have recovered since their drop. There are some methods used by researchers which can be minimised the worst case by using Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), mean-VaR, mean-CVaR and others. Numerous studies have found that the mean-CVaR framework performs better than the mean-VaR framework when it comes to managing financial assets in the portfolio. The research objectives of this study are to construct the risk minimising portfolios of Malaysia’s tourism assets for three different periods using mean-CVaR model, comparing the risk measures (in terms CVaR) of the portfolio of tourism assets for before, during and after COVID-19 pandemic and validating the results obtained by using out-of-sample analyses. The mean-CVaR model used in this study is formulated in Rockafellar and Uryasev (2000).
format	Thesis
author	Nor Zlan, Alyaa Uzma Mohamed Jalaludin, Nazira Suhana Harun, Siti Norhafieza
author_facet	Nor Zlan, Alyaa Uzma Mohamed Jalaludin, Nazira Suhana Harun, Siti Norhafieza
author_sort	Nor Zlan, Alyaa Uzma
title	COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
title_short	COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
title_full	COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
title_fullStr	COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
title_full_unstemmed	COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun
title_sort	covid-19 effects on portfolio optimisation of tourism assets using mean-cvar / alyaa uzma nor zlan, nazira suhana mohamed jalaludin and siti norhafieza harun
granting_institution	Universiti Teknologi MARA, Negeri Sembilan
granting_department	College of Computing, Informatics and Media
publishDate	2023
url	https://ir.uitm.edu.my/id/eprint/93459/1/93459.pdf
_version_	1804889880969347072

COVID-19 effects on portfolio optimisation of tourism assets using Mean-CVaR / Alyaa Uzma Nor Zlan, Nazira Suhana Mohamed Jalaludin and Siti Norhafieza Harun

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