Price and market risk reduction for bond portfolio selection in BRICS markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10384681" target="_blank" >RIV/00216208:11320/18:10384681 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.21511/imfi.15(1).2018.11" target="_blank" >https://doi.org/10.21511/imfi.15(1).2018.11</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21511/imfi.15(1).2018.11" target="_blank" >10.21511/imfi.15(1).2018.11</a>

Result language

angličtina

Original language name

Price and market risk reduction for bond portfolio selection in BRICS markets

Original language description

This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested twostep optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

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Volume of the periodical

15

Issue of the periodical within the volume

1

Country of publishing house

UA - UKRAINE

Number of pages

12

Pages from-to

120-131

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85043241747