Ex-post portfolio comparison in the BRICs stocks markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86091121" target="_blank" >RIV/61989100:27510/14:86091121 - 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
Ex-post portfolio comparison in the BRICs stocks markets
Original language description
In this paper we analyse the performance of classical portfolio strategies in the BRIC's stock markets under the assumption that portfolio returns are approximated by a non-parametric Markov chain. In particular, we propose an ex-post analysis to evaluate the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly. We compare the ex-post sample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markov approximation of the portfolio returns. Considering these two investment strategies, we try to evaluate whether these markets can be a valid investment for non-satiable and risk averse investors.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
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
Article name in the collection
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
631-638
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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