Optimal Portfolio Selection with Different Approximated Returns

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099795" target="_blank" >RIV/61989100:27510/16:86099795 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Optimal Portfolio Selection with Different Approximated Returns
Original language description
In this paper, we investigate the impact of the approximation methods on the large-scale portfolio selection problems. In particular, we compare conditional expectation estimation from both parametric and nonparametric regression models. In this context, we use a general nonparametric multivariate regression framework to cope with several problems arising with linear regression approximation. To this end, we firstly reduce the dimensionality of the large-scale portfolio by performing a principal component analysis on the stock returns. Then, within k-fund separation model, we use different methodologies to approximate the portfolio returns. Finally, through an empirical analysis, we show the impact of regression estimation on the ex-post sample paths of several portfolio strategies. The proposed empirical analysis confirms that it is better using nonparametric regression rather than the classical parametric regression.
Czech name
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Czech description
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Project
<a href="/en/project/GA15-23699S" target="_blank" >GA15-23699S: Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
34th International Conference Mathematical Methods in Economics (MME) : proceedings papers
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
447-452
Publisher name
Technická univerzita Liberec
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500077

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