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Optimal portfolio performance with exchange-traded funds.

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090789" target="_blank" >RIV/61989100:27510/14:86090789 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Optimal portfolio performance with exchange-traded funds.

  • Original language description

    In this paper, the portfolio selection problem in exchange-traded fund (hereafter ETF) markets is considered. Since the ETFs track some market indexes with lower costs than the indexes, their development and popularity is grown enormously in the last decade. Moreover, ETF characteristics also present several advantages for the investors that we briefly examine for the U.S. and European markets of ETFs. In particular, we first introduce a new performance measure consistent with the optimal choices of non-satiable risk-averse investors and then we discuss the optimization of a few performance measures on the U.S. and European ETF markets. Finally, we propose an empirical comparison among the ex-post wealth obtained by optimizing the new performance measure, the Sharpe ratio and the Rachev ratio.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • 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)

Others

  • Publication year

    2014

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    Ekonomická revue - Central European Review of Economics Issues

  • ISSN

    1212-3951

  • e-ISSN

  • Volume of the periodical

    17

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    8

  • Pages from-to

    5-12

  • UT code for WoS article

  • EID of the result in the Scopus database