Selected Empirical Results on Portfolio Optimization

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094583" target="_blank" >RIV/61989100:27510/15:86094583 - isvavai.cz</a>

Výsledek na webu

<a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Selected Empirical Results on Portfolio Optimization

Popis výsledku v původním jazyce

The development in the portfolio theory goes hand in hand with the increase of computer&apos;s computational power, which allows to apply more complex performance ratios and obtain the results in the reasonable time. The most known performance ratio is Sharpe ratio formulated in 1966 by William F. Sharpe in order to measure the performance of mutual funds. Since then, many new performance ratios were proposed. In the paper we focus on mean absolute deviation (MAD) ratio and Rachev ratio. Although these ratios were proposed to improve the portfolio allocation, we empirically demonstrate that this need not be necessarily true. On the historical dataset of DJIA components we empirically show that both Sharpe ratio and MAD ratio outperform the Rachev ratio. In the paper we assume two datasets – composition of DJIA as of the beginning of analyzed period (the correct dataset) and as of the end of analyzed period (incorrect dataset) and quantify the influence of a survivorship bias.

Název v anglickém jazyce

Selected Empirical Results on Portfolio Optimization

Popis výsledku anglicky

The development in the portfolio theory goes hand in hand with the increase of computer&apos;s computational power, which allows to apply more complex performance ratios and obtain the results in the reasonable time. The most known performance ratio is Sharpe ratio formulated in 1966 by William F. Sharpe in order to measure the performance of mutual funds. Since then, many new performance ratios were proposed. In the paper we focus on mean absolute deviation (MAD) ratio and Rachev ratio. Although these ratios were proposed to improve the portfolio allocation, we empirically demonstrate that this need not be necessarily true. On the historical dataset of DJIA components we empirically show that both Sharpe ratio and MAD ratio outperform the Rachev ratio. In the paper we assume two datasets – composition of DJIA as of the beginning of analyzed period (the correct dataset) and as of the end of analyzed period (incorrect dataset) and quantify the influence of a survivorship bias.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

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 statě ve sborníku

18 Annual International Conference Enterprise and Competitive Environment Conference Proceedings

ISBN

978-80-7509-342-4

ISSN

—

e-ISSN

neuvedeno

Počet stran výsledku

10

Strana od-do

422-431

Název nakladatele

Mendelova univerzita v Brně

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

5. 3. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000380464000047