Evaluation of strategy portfolios

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F24%3A10254107" target="_blank" >RIV/61989100:27510/24:10254107 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s10287-023-00497-5" target="_blank" >https://link.springer.com/article/10.1007/s10287-023-00497-5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10287-023-00497-5" target="_blank" >10.1007/s10287-023-00497-5</a>

Result language
angličtina
Original language name
Evaluation of strategy portfolios
Original language description
People usually create a portfolio in order to diversify the risk coming from individual investments. To get a high yield with a good level of diversification, investors usually seek professional advice from portfolio managers. However, the true performance of an optimized portfolio usually depends on the correctness of the estimates of the distribution of future returns, which is often a matter of luck rather than skill. Thus, the optimization models may not be better than randomly selected portfolios. Our aim is to find how the so-called strategy portfolios, i.e., portfolios obtained by some decision optimized for a long-run horizon, perform compared to a benchmark, namely, a random investment, under specific market conditions. For this purpose, we evaluate several portfolio strategies over two periods of crisis: the subprime mortgage crisis and the Covid-19 pandemic, as well as run a moving window analysis over a longer horizon. In each case, the results are compared with the performance of random-weight portfolios. We find that if the strategy is minimization, the portfolios perform well; however, for the maximization of the objectives, the results are rather mixed.
Czech name
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Czech description
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Type
J<sub>imp</sub> - 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/GA23-06280S" target="_blank" >GA23-06280S: New approaches to forecasting of financial time series within fuzzy-probabilistic setting</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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