Portfolio selection in the BRICs stocks markets using Markov processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090962" target="_blank" >RIV/61989100:27510/14:86090962 - 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
Portfolio selection in the BRICs stocks markets using Markov processes
Original language description
In this paper, we examine the performance of classical portfolio strategies in the BRIC's stock markets using a Markov approximation of the portfolio returns. In particular, we try to evaluate whether these markets can be a valid investment for non satiable and risk averse investors. First, we examine the main statistical characteristics of the returns in each market. Secondly, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process. Finally, we examine the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly, under the assumption the returns are approximated by a non parametric Markov chain. In particular, we compare the ex-postsample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markovian hypothesis.
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)<br>S - Specificky vyzkum na vysokych skolach
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
INTERNATIONAL JOURNAL OF MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
ISSN
1998-0140
e-ISSN
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Volume of the periodical
8
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
311-318
UT code for WoS article
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EID of the result in the Scopus database
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