Optimized portfolios minimize risks and maximize returns for investors
The researchers used two models, mean-variance and mean-CVaR, to create optimal portfolios of risky assets. They analyzed stock data from FBMKLCI and found that mean-variance portfolios are more diversified than mean-CVaR portfolios. Mean-CVaR portfolios have lower risk values at high target returns, while mean-variance portfolios have lower risk at low target returns.