Minimum Risk Portfolio Optimization with Twofold Efficiency Tests

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10249563" target="_blank" >RIV/61989100:27510/20:10249563 - isvavai.cz</a>
Result on the web
<a href="https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf" target="_blank" >https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Minimum Risk Portfolio Optimization with Twofold Efficiency Tests
Original language description
Considering the risk aversion attitude to investing activities in the portfolio optimization problems, minimum risk portfolios are generated in our analysis under the framework of the Mean-Variance model. To test the efficiency of the minimum risk portfolios obtained from the in-sample data, twofold work is constructed. Firstly, the out-of-sample data which covered the 2007-2009 global financial crisis is applied specifically for testing the efficiency of risk-minimizing feature in reality; Secondly, we use the rolling-window approach to test the robustness of the strategy portfolios by applying a lager sample data. From our empirical analysis results, we find that the obtained strategies are efficient in the global financial crisis period, while the strategies obtained from the rolling window approach are not robust in the chosen period 2008-2019.
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
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

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
643-649
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
000668460800098

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