Adaptive parameter estimations of Markowitz model for portfolio optimization
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F16%3A43929920" target="_blank" >RIV/49777513:23520/16:43929920 - isvavai.cz</a>
Result on the web
<a href="http://mme2016.tul.cz/index.php?page=conferenceproceedings" target="_blank" >http://mme2016.tul.cz/index.php?page=conferenceproceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Adaptive parameter estimations of Markowitz model for portfolio optimization
Original language description
This article is focused on a stock market portfolio optimization. The used method is a modification of traditional Markowitz model which extends the original one for adaptive approaches of parameter estimations. One of the basic factors which significantly influence optimal portfolio is the method of estimations of return on assets, risk and covariance between them. Since the stock market processes tend to be not stationary we can expect that prioritization of recent information will lead to improvement of these parameter estimations and thus to better results of the entire model. For this purpose a modified algorithm was design to estimate expected return and correlation matrix more stable. For implementation and verification of this algorithm we needed to build a program which was able to download historical stock market data from the internet and compute optimal portfolio using either traditional Markowitz model and its modified approach. Obtained results will be compared to the traditional Markowitz model provided real data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
34th International Conference Mathematical Methods in Economics, MME2016, Conference Proceedings
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
635-640
Publisher name
Technical University of Liberec
Place of publication
Liberec
Event location
Liberec, ČR
Event date
Sep 6, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000385239500109