A note on effect of errors in input parameters on mean-variance efficient portfolios
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313097" target="_blank" >RIV/00216208:11320/15:10313097 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A note on effect of errors in input parameters on mean-variance efficient portfolios
Original language description
Mean-variance efficient portfolios are in?uenced by errors due to approximation, estimation and incomplete information. Therefore, the obtained results - recommendations for the risk and portfolio manager, should be carefully analyzed. This note presentsresults of a simulation study devoted to the output analysis with respect to perturbed input data - expected yields and elements of their covariance matrix. The motivation comes from results of the simulation study of Chopra and Ziemba [1993], whose conclusions about the prevailing importance of expectations turn out to be substantially in?uenced by the chosen value of the model parameter that quanti?es the level of the risk aversion of the investor. Our simulation study complements these results comparing the in?uence of perturbed values of expectations, variances and covariances of yields for the whole range of the risk aversion parameter.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
33rd International Conference Mathematical Methods in Economics
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
156-160
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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