Resilient portfolio risk measures outperform traditional methods in optimizing returns.
Portfolio risk management is crucial for business success. Traditional methods like standard deviation and VaR are limited by skewness and kurtosis. This study introduces new metrics that consider these higher moments, improving portfolio optimization. By incorporating skewness and kurtosis, portfolios can better handle asymmetric and heavy-tailed returns. The new data-driven risk measures outperform standard methods, leading to more resilient portfolios.