Applications of Mathematical Optimization Approaches to Portfolio

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10249562" target="_blank" >RIV/61989100:27510/19:10249562 - isvavai.cz</a>
Result on the web
<a href="https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf" target="_blank" >https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Applications of Mathematical Optimization Approaches to Portfolio
Original language description
In this paper the portfolio optimization problem is solved by applying mathematical optimization approaches. We apply the naive strategy to obtain a portfolio with equal weights. The efficient portfolios are also obtained by considering the standard deviation and the mean absolute deviation as the risk measure separately. In our empirical analysis, based on the in-sample data, we construct the efficient frontiers by applying the Mean Variance approach and the Mean Absolute Deviation approach, and then we make the back-test of these efficient portfolios in the out-of-sample period to verify whether the strategies obtained by the optimization approaches work efficiently. In the back-test, the main performance measure of the portfolio is the Maximum Drawdown. To make the verification conclusive, we also generate random-weights portfolios and make hypothesis tests. By comparing the results, we conclude that for both of Mean Variance approach and Mean Absolute Deviation approach, they each obtains portfolios with efficiency in our empirical analysis.
Czech name
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Czech description
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Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

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

Article name in the collection
MME 2019 : 37th International Conference on Mathematical Methods in Economics 2019 : conference proceedings : České Budějovice, September 11-13, 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
439-444
Publisher name
Jihočeská univerzita v Českých Budějovicích
Place of publication
České Budějovice
Event location
Ceske Budejovice
Event date
Sep 11, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000507570400073

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