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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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EID of the result in the Scopus database
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