Out-of-sample optimal risk parameter in mean- CVaR models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10317850" target="_blank" >RIV/00216208:11320/15:10317850 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Out-of-sample optimal risk parameter in mean- CVaR models
Original language description
The paper deals with mean-risk models using Conditional Value at Risk (CVaR) as a measure of risk. Firstly, using daily data of returns of 49 US industrial representative portfolios within one year, the optimal in-sample portfolios for years 1970 - 2011are computed. Then the out-ofsample performance of these portfolios is analyzed using annual returns from years 1971 - 2012. The analysis is done for various values of risk parameter and the out-of-sample optimal value of risk parameter is identified. The out-of-sample optimality is considered with respect to various criteria: maximization of mean out-of-sample return, minimization of variance of outof- sample returns and minimization of CVaR of out-of-sample returns. Finally, the out-ofsample returns are compared using second-order stochastic dominance relations and efficiency.
Czech name
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Czech description
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Project
<a href="/en/project/GA15-02938S" target="_blank" >GA15-02938S: Stochastic dominance in operations research</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 10th International Scientific Conference Financial management of Firms and Financial Institutions
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
6
Pages from-to
544-549
Publisher name
VŠB-Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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