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COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek

The global COVID-19 pandemic that occurred nowadays has significantly impacted Malaysia's stock market in every sector. Airline’s assets are part of the financial markets that have been affected by the outbreak. This study lies in finding the answers whether the mean-CVaR model effectively mini...

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Main Authors: Sukarno, Mohd. Aidil, Awang Zainal, Awangku Zaidi, Embok Mek, Mohamad Eizhan Shahfizee
Format: Student Project
Language:English
Published: 2022
Subjects:
Statistical data
Data processing. Including SPSS
Online Access:https://ir.uitm.edu.my/id/eprint/80625/1/80625.pdf
https://ir.uitm.edu.my/id/eprint/80625/
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id my.uitm.ir.80625
record_format eprints
spelling my.uitm.ir.806252023-07-04T05:25:51Z https://ir.uitm.edu.my/id/eprint/80625/ COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek Sukarno, Mohd. Aidil Awang Zainal, Awangku Zaidi Embok Mek, Mohamad Eizhan Shahfizee Statistical data Data processing. Including SPSS The global COVID-19 pandemic that occurred nowadays has significantly impacted Malaysia's stock market in every sector. Airline’s assets are part of the financial markets that have been affected by the outbreak. This study lies in finding the answers whether the mean-CVaR model effectively minimizes the risk for the portfolio of airlines assets. Therefore, this research aims to construct an optimum portfolio of airline assets. The closing price of the assets is obtained from the DataStream. The study samples involved 20 of airlines assets listed in Bursa Malaysia from 2010 to 2022. The scenario return obtained is used in the construction of 10 in-sample portfolios. An optimal portfolio is obtained by minimizing the risk using mean-CVaR with three target returns of 1.3%, 1.8%, and 2.3%, representing low, medium, and highreturns respectively. Then, answer to airline asset portfolio has the lowest risk in terms of CVaR as a risk measure whether before and during COVID-19. So, we were comparing risk behavior of the portfolio for airlines companies’ assets before and during COVID-19 pandemic. 2022 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/80625/1/80625.pdf COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek. (2022) [Student Project] (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Statistical data
Data processing. Including SPSS
spellingShingle Statistical data
Data processing. Including SPSS
Sukarno, Mohd. Aidil
Awang Zainal, Awangku Zaidi
Embok Mek, Mohamad Eizhan Shahfizee
COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
description The global COVID-19 pandemic that occurred nowadays has significantly impacted Malaysia's stock market in every sector. Airline’s assets are part of the financial markets that have been affected by the outbreak. This study lies in finding the answers whether the mean-CVaR model effectively minimizes the risk for the portfolio of airlines assets. Therefore, this research aims to construct an optimum portfolio of airline assets. The closing price of the assets is obtained from the DataStream. The study samples involved 20 of airlines assets listed in Bursa Malaysia from 2010 to 2022. The scenario return obtained is used in the construction of 10 in-sample portfolios. An optimal portfolio is obtained by minimizing the risk using mean-CVaR with three target returns of 1.3%, 1.8%, and 2.3%, representing low, medium, and highreturns respectively. Then, answer to airline asset portfolio has the lowest risk in terms of CVaR as a risk measure whether before and during COVID-19. So, we were comparing risk behavior of the portfolio for airlines companies’ assets before and during COVID-19 pandemic.
format Student Project
author Sukarno, Mohd. Aidil
Awang Zainal, Awangku Zaidi
Embok Mek, Mohamad Eizhan Shahfizee
author_facet Sukarno, Mohd. Aidil
Awang Zainal, Awangku Zaidi
Embok Mek, Mohamad Eizhan Shahfizee
author_sort Sukarno, Mohd. Aidil
title COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
title_short COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
title_full COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
title_fullStr COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
title_full_unstemmed COVID-19 effects on risk minimising portfolio of Airlines companies using mean-CVaR model / Mohd. Aidil Sukarno, Awangku Zaidi Awang Zainal and Mohamad Eizhan Shahfizee Embok Mek
title_sort covid-19 effects on risk minimising portfolio of airlines companies using mean-cvar model / mohd. aidil sukarno, awangku zaidi awang zainal and mohamad eizhan shahfizee embok mek
publishDate 2022
url https://ir.uitm.edu.my/id/eprint/80625/1/80625.pdf
https://ir.uitm.edu.my/id/eprint/80625/
_version_ 1770554771741081600
score 13.211869

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