PORTFOLIO SELECTION MODEL USING CVaR AND MDD RISK MEASURES

Various decision-making models described in the literature can be used to determine the optimal investor strategy. This group of models may also include portfolio selection models that diversify assets to reduce the overall risk of the investment under consideration. In general, risk minimization and return maximization can be identified as the main objectives of the selection models. In minimizing risk, the investor may use several risk measures that complement and provide more excellent coverage of the risk investment to adequately reflect the corresponding asset's short-term and long-term capital shortfalls. The paper focuses on the description of the construction of a portfolio selection model that takes into account both aspects of investment risk. The risk measures conditional value at risk (CVaR), and maximum drawdown (MDD) have been chosen. The result of the model solution is a set of effective solutions for the determined parameters of the model, which reflect different combinations of the determined values of expected returns and risks.