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Application of Performance Ratios in Portfolio Optimization

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094580" target="_blank" >RIV/61989100:27510/15:86094580 - isvavai.cz</a>

  • Result on the web

    <a href="http://acta.mendelu.cz/63/6/1969/" target="_blank" >http://acta.mendelu.cz/63/6/1969/</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.11118/actaun201563061969" target="_blank" >10.11118/actaun201563061969</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Application of Performance Ratios in Portfolio Optimization

  • Original language description

    The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds. The contemporary development in computer's computational power allowed to apply more complex performance ratios, which take into account also higher moments of return probability distribution. Although these ratios were proposed to help the investors to improve the results of portfolio optimization, we empirically demonstrated in our paper that this may not necessarily be true. On the historical dataset of DJIA components we empirically showed that both Sharpe ratio and MAD ratio outperformed Rachev ratio. However, for Rachevratio we assumed only one level of parameters value. Different set-ups of parameters may provide different results and thus further analysis is certainly required.

  • Czech name

  • Czech description

Classification

  • Type

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

  • CEP classification

    AE - Management, administration and clerical work

  • 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

    2015

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

  • ISSN

    1211-8516

  • e-ISSN

  • Volume of the periodical

    63

  • Issue of the periodical within the volume

    6

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    9

  • Pages from-to

    1969-1977

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-84958158541