The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F21%3A43920204" target="_blank" >RIV/62156489:43110/21:43920204 - isvavai.cz</a>
Alternative codes found
RIV/00216305:26510/21:PU143598
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 Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory
Original language description
The current scientific state of knowledge deals with the Markowitz MeanVariance model, which modifies various identified aspects (most often including risk, infections, cardinality problems and others). They modify the initial algorithm and then apply it to selected funds. Our aim was not to modify the Markowitz model, but to map the performance of individual types of funds using computer technology. The original intention was to compare the performance of social responsible investments (SRI) funds with others and to find out if they are economically interesting for the investors. Due to a lack of consistent data, the research team was only able to assess bond, equity and mixed assets funds. Five-year periods were chosen that showed consistent results (compared to one-year and research results). The data obtained was limited to a minimum of 5 funds in the portfolio, a minimum proportion of 5% for the fund in the portfolio, and 1000 possible variations of portfolios for the given type of fund were always created. These limits were applied to simulate the possible real decision-making of the investor on the financial market. In total, 550 Markowitz Bullets were examined, from which 8 key conclusions were drawn.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2021: Conference Proceedings
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
214-219
Publisher name
Česká zemědělská univerzita v Praze
Place of publication
Praha
Event location
Praha
Event date
Sep 8, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000936369700035

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