Application of Performance Ratios in Portfolio Optimization

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094580" target="_blank" >RIV/61989100:27510/15:86094580 - isvavai.cz</a>

Výsledek na webu

<a href="http://acta.mendelu.cz/63/6/1969/" target="_blank" >http://acta.mendelu.cz/63/6/1969/</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201563061969" target="_blank" >10.11118/actaun201563061969</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Application of Performance Ratios in Portfolio Optimization

Popis výsledku v původním jazyce

The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds. The contemporary development in computer's computational power allowed to apply more complex performance ratios, which take into account also higher moments of return probability distribution. Although these ratios were proposed to help the investors to improve the results of portfolio optimization, we empirically demonstrated in our paper that this may not necessarily be true. On the historical dataset of DJIA components we empirically showed that both Sharpe ratio and MAD ratio outperformed Rachev ratio. However, for Rachevratio we assumed only one level of parameters value. Different set-ups of parameters may provide different results and thus further analysis is certainly required.

Název v anglickém jazyce

Application of Performance Ratios in Portfolio Optimization

Popis výsledku anglicky

The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds. The contemporary development in computer's computational power allowed to apply more complex performance ratios, which take into account also higher moments of return probability distribution. Although these ratios were proposed to help the investors to improve the results of portfolio optimization, we empirically demonstrated in our paper that this may not necessarily be true. On the historical dataset of DJIA components we empirically showed that both Sharpe ratio and MAD ratio outperformed Rachev ratio. However, for Rachevratio we assumed only one level of parameters value. Different set-ups of parameters may provide different results and thus further analysis is certainly required.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

63

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

9

Strana od-do

1969-1977

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-84958158541