Comparison of Selected Portfolio Approaches with Benchmark

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245308" target="_blank" >RIV/61989100:27510/20:10245308 - isvavai.cz</a>
Result on the web
<a href="https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final.pdf" target="_blank" >https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Comparison of Selected Portfolio Approaches with Benchmark
Original language description
Over the years, a popular topic amongst scientific economists has been the exploration and validation of modeling used to achieve an optimal portfolio composition that meets the financial goals of the investor. The portfolio optimi- zation model offered tools for finding weights to align an investor's risk attitude with potential portfolio return. In this paper, the comparison between the backtesting of several portfolio optimization models, and the benchmark is solved. The portfolio models used for back testing were the most widely known Markowitz model, the Conditional Value at Risk (CVaR) model, and the Bayesian optimization model. The comparison criteria used were; final wealth, mean re- turn and mean standard deviation together with Sharpe ratio, Rachev ratio and Value-at-Risk portfolio performance measures. The stock market used were the US, the Chinese, and the UK markets, with stock data drawn at boom and crisis time periods to allow comprehensive comparison across world markets and time periods.
Czech name
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Czech description
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Project
<a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
38th International Conference on Mathematical Methods in Economics (MME 2020) : conference proceedings : September 9-11, 2020, Mendel University in Brno, Czech Republic
ISBN
978-80-7509-734-7
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
389-395
Publisher name
Mendel University in Brno
Place of publication
Brno
Event location
Brno
Event date
Sep 9, 2020
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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