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
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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
AE - Management, administration and clerical work
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
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
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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
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EID of the result in the Scopus database
2-s2.0-84958158541