Effect of Factor Numbers in the Approximation of Returns on Portfolio Performance

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10253140" target="_blank" >RIV/61989100:27510/23:10253140 - isvavai.cz</a>
Result on the web
<a href="https://mme2023.vse.cz/mme_2023_proceedings.pdf" target="_blank" >https://mme2023.vse.cz/mme_2023_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Effect of Factor Numbers in the Approximation of Returns on Portfolio Performance
Original language description
Many strategies for setting the number of factors even simple or advanced have been implemented in a returns approximation process. Thus, in this contribution, the objective of this contribution is to analyse the effect of two simple strategies for determining an appropriate number of factors obtained from the principal component analysis (PCA) on the performance of the portfolio. Moreover, we also analyse the impact of the application of several dependency matrices to PCA. To approximate the return series, this study employs a nonparametric regression model based on conditional expectations and kernel estimator. The effect on the constructed portfolio is shown employing a portfolio model that maximizes the Sharpe ratio. Furthermore, different time periods of US stock market data are considered.
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
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MME 2023 : Proceedings of the 41st International Conference on Mathematical Methods in Economics : September 13–15, 2023, Prague, Czech Republic
ISBN
978-80-11-04132-8
ISSN
2788-3965
e-ISSN
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Number of pages
6
Pages from-to
314-319
Publisher name
Czech Society for Operations Research
Place of publication
Praha
Event location
Praha
Event date
Sep 13, 2023
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
001551108000052

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