Portfolio Optimization Efficiency Test Considering Data Snooping Bias

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245503" target="_blank" >RIV/61989100:27510/20:10245503 - isvavai.cz</a>

Result on the web

<a href="https://hrcak.srce.hr/file/355701" target="_blank" >https://hrcak.srce.hr/file/355701</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.2478/bsrj-2020-0016" target="_blank" >10.2478/bsrj-2020-0016</a>

Result language

angličtina

Original language name

Portfolio Optimization Efficiency Test Considering Data Snooping Bias

Original language description

Background: In the portfolio optimization area, most of the researches are focused on in-sample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it. Objectives: The objectives of the paper are to propose the approach to measure the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering possible data snooping bias. The proposed approach is demonstrated on the Markowitz minimum variance model and fuzzy probabilities minimum variance model. Methods/Approach: The proposed approach is based on a statistical test. It considers the null hypothesis that the analyzed portfolio optimization strategy creates a portfolio randomly, while the alternative hypothesis is that an optimized portfolio is created in such a way that the risk of the portfolio is lowered. Results: It is found out that the analyzed strategies indeed lower the risk of the portfolio during the market&apos;s decline phase of the global financial crisis and in 94% of the time in the period 2009-2019. Conclusions: The analyzed strategies lower the risk of the portfolio in the out-of-sample period.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50206 - Finance

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

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Business Systems Research Journal

ISSN

1847-8344

e-ISSN

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Volume of the periodical

11

Issue of the periodical within the volume

2

Country of publishing house

HR - CROATIA

Number of pages

13

Pages from-to

73-85

UT code for WoS article

000585995000006

EID of the result in the Scopus database

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