The Impact of Technical Analysis and Stochastic Dominance Rules in Portfolio Process

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247913" target="_blank" >RIV/61989100:27510/21:10247913 - isvavai.cz</a>

Result on the web

<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

The Impact of Technical Analysis and Stochastic Dominance Rules in Portfolio Process

Original language description

During the last decades, modern portfolio theory has become one of the most applied portfolio approaches by investors. However, this theory can be regarded as a pillar of which in recent years has been derived and adapted a large number of similar portfolio models. The possible approach is to combine a general portfolio model with the discipline of the financial area to find a more suitable strategy for the investment making process. This paper aims to analyse the impact of several technical analysis indicators and stochastic dominance approach in the portfolio decision process in various markets during different time horizons capturing different market conditions. Therefore, groups of portfolio models minimizing risk and maximizing performance ratio are suggested. Two strategies of implementation technical analysis rules and stochastic dominance rule into the portfolio creation process are considered. Strategy 1 aims at eliminating the whole market systemic risk with the alternative of investing in a risk-free asset. The second strategy focused on the use of assets meeting particular alarm rules. It was evident from the results that using strategy 1 to find systemic risk during the crisis reduced the risk of the portfolio with similar profitability. Oppositely, strategy 2 is more effective in a period with a growing global economy.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50206 - Finance

Project

<a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2021

Confidentiality

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

Article name in the collection

MME2021 : Proceedings of the 39th International Conference on Mathematical Methods in Economics : 8th - 10th September 2021, Prague, Czech Republic, EU

ISBN

978-80-213-3126-6

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

343-348

Publisher name

Czech University of Life Sciences Prague

Place of publication

Praha

Event location

Praha

Event date

Sep 8, 2021

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

000936369700056