Efficiency test as the benchmark for minimum-risk portfolio optimization strategies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10243850" target="_blank" >RIV/61989100:27510/19:10243850 - isvavai.cz</a>
Result on the web
<a href="http://fgg-web.fgg.uni-lj.si/~/sdrobne/sor/SOR'19%20-%20Proceedings.pdf" target="_blank" >http://fgg-web.fgg.uni-lj.si/~/sdrobne/sor/SOR'19%20-%20Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Efficiency test as the benchmark for minimum-risk portfolio optimization strategies
Original language description
In the paper we propose the efficiency test, which can be considered as the benchmark for portfolio optimization strategies. The test is based on the comparison of out-of-sample performance of considered strategies with randomly created portfolios. We present the practical application of the test in the period of global financial crisis and we perform one-year rolling window tests in the period 2009-2019. According to the empirical results, considered minimum-risk portfolios worked efficiently during the global financial crisis, however, the results are not robust as confirmed by rolling-window approach.
Czech name
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Czech description
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Project
<a href="/en/project/GA18-13951S" target="_blank" >GA18-13951S: New approaches to financial time series modelling based on soft computing</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
SOR '19 proceedings : the 15th International Symposium on Operational Research in Slovenia : Bled, Slovenia, September 25-27, 2019
ISBN
978-961-6165-55-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
417-422
Publisher name
Slovenian Society Informatika
Place of publication
Ljubljana
Event location
Bled
Event date
Sep 25, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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