Stability analysis of optimal mean-variance portfolio due to covariance estimation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F17%3A43951157" target="_blank" >RIV/49777513:23520/17:43951157 - isvavai.cz</a>
Result on the web
<a href="http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf" target="_blank" >http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stability analysis of optimal mean-variance portfolio due to covariance estimation
Original language description
The objective of this paper is to study the stability of the mean-variance portfolio optimization. The results of the mean-variance optimal selection problem are very sensitive to the model parameters (portfolio calibration window and frequency of portfolio rebalancing). There are presented three methods of stabilization of covariance matrix estimation and further analysis are focused on the influence of estimation of covariance matrix to robustness of optimal selection. For practical verification, the proposed approaches were tested the suitability of these methods to the performance of the investment portfolio. This were done within the framework of 2000 to 2016 using daily data of 100 companies from the New York Stock Exchange.
Czech name
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Czech description
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Project
<a href="/en/project/LO1506" target="_blank" >LO1506: Sustainability support of the centre NTIS - New Technologies for the Information Society</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Procedings of the 35th International Conference Mathematical Methods in Economics
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
759-764
Publisher name
UNIV HRADEC KRALOVE, ROKITANSKEHO 62, HRADEC KRALOVE 3, 500 03, CZECH REPUBLIC
Place of publication
HRADEC KRALOVE
Event location
Hradec Kralove, CZECH REPUBLIC
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400130

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