Price and market risk reduction for bond portfolio selection in BRICS markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10384681" target="_blank" >RIV/00216208:11320/18:10384681 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.21511/imfi.15(1).2018.11" target="_blank" >https://doi.org/10.21511/imfi.15(1).2018.11</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21511/imfi.15(1).2018.11" target="_blank" >10.21511/imfi.15(1).2018.11</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Price and market risk reduction for bond portfolio selection in BRICS markets

Popis výsledku v původním jazyce

This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested twostep optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.

Název v anglickém jazyce

Price and market risk reduction for bond portfolio selection in BRICS markets

Popis výsledku anglicky

This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested twostep optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

UA - Ukrajina

Počet stran výsledku

12

Strana od-do

120-131

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85043241747