Comparison of Selected Portfolio Approaches with Benchmark

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245308" target="_blank" >RIV/61989100:27510/20:10245308 - isvavai.cz</a>

Výsledek na webu

<a href="https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final.pdf" target="_blank" >https://mme2020.mendelu.cz/wcd/w-rek-mme/mme2020_conference_proceedings_final.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of Selected Portfolio Approaches with Benchmark

Popis výsledku v původním jazyce

Over the years, a popular topic amongst scientific economists has been the exploration and validation of modeling used to achieve an optimal portfolio composition that meets the financial goals of the investor. The portfolio optimi- zation model offered tools for finding weights to align an investor&apos;s risk attitude with potential portfolio return. In this paper, the comparison between the backtesting of several portfolio optimization models, and the benchmark is solved. The portfolio models used for back testing were the most widely known Markowitz model, the Conditional Value at Risk (CVaR) model, and the Bayesian optimization model. The comparison criteria used were; final wealth, mean re- turn and mean standard deviation together with Sharpe ratio, Rachev ratio and Value-at-Risk portfolio performance measures. The stock market used were the US, the Chinese, and the UK markets, with stock data drawn at boom and crisis time periods to allow comprehensive comparison across world markets and time periods.

Název v anglickém jazyce

Comparison of Selected Portfolio Approaches with Benchmark

Popis výsledku anglicky

Over the years, a popular topic amongst scientific economists has been the exploration and validation of modeling used to achieve an optimal portfolio composition that meets the financial goals of the investor. The portfolio optimi- zation model offered tools for finding weights to align an investor&apos;s risk attitude with potential portfolio return. In this paper, the comparison between the backtesting of several portfolio optimization models, and the benchmark is solved. The portfolio models used for back testing were the most widely known Markowitz model, the Conditional Value at Risk (CVaR) model, and the Bayesian optimization model. The comparison criteria used were; final wealth, mean re- turn and mean standard deviation together with Sharpe ratio, Rachev ratio and Value-at-Risk portfolio performance measures. The stock market used were the US, the Chinese, and the UK markets, with stock data drawn at boom and crisis time periods to allow comprehensive comparison across world markets and time periods.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA20-16764S" target="_blank" >GA20-16764S: Zobecněný přístup ke stochastické dominanci: teorie a finanční aplikace</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

38th International Conference on Mathematical Methods in Economics (MME 2020) : conference proceedings : September 9-11, 2020, Mendel University in Brno, Czech Republic

ISBN

978-80-7509-734-7

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

389-395

Název nakladatele

Mendel University in Brno

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

9. 9. 2020

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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