Determining the Investor's Strategy During the COVID-19 Crisis Based on CVaR Risk Measure

Abstract

The realized investment operations of each investor are based on the analysis in such a way that a certain certainty of the invested financial amount and a satisfactory return is ensured during the implementation. Therefore, when investing, the investor decides which products or securities to invest in and chooses when the investor should make the chosen investment. In this way, the investor is faced with the question of the possible return of his investment strategy based on the optimization model of portfolio selection based on the CVaR risk measure. The investor decides based on certain assumptions, including the assumption of the emergence of a crisis, e.g., the crisis caused by the virus. The paper presents the impact of the crisis on investor decision-making through the CVaR risk measure, which was realized on historical data of the components of the Dow Jones Industrial Average (DJIA) stock index in both crisis and pre-crisis periods.