International portfolio selection with Markov processes and liquidity constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086863" target="_blank" >RIV/61989100:27510/13:86086863 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
International portfolio selection with Markov processes and liquidity constraints
Original language description
This paper proposes an ex-post comparison of portfolio selection strate-gies applied to 64 stock exchange markets during the period 2008-2011. Assets are considered according to three different classes of liquidity constraints which differ for their average traded daily value. Moreover, in order to simplify the computation-al complexity of the choice we preselected assets among the global market consider-ing different return characteristics: the joint Markovian behavior of the returns; their associationwith market stochastic bounds and their ex-ante reward-risk perfor-mance. For each liquidity class of assets we compare the ex-post performance of three portfolio selection strategies: one of them is based on the maximization of the Sharpe ratio; the other two are based on the maximization of a reward-risk perfor-mance measure that considers a Markovian evolution of the portfolio returns. The ex-post analysis shows that the reward-risk functionals allow better performance in terms of fi
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
7-12
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—