Portfolio Optimization Efficiency Test Considering Data Snooping Bias

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245503" target="_blank" >RIV/61989100:27510/20:10245503 - isvavai.cz</a>

Výsledek na webu

<a href="https://hrcak.srce.hr/file/355701" target="_blank" >https://hrcak.srce.hr/file/355701</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.2478/bsrj-2020-0016" target="_blank" >10.2478/bsrj-2020-0016</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Portfolio Optimization Efficiency Test Considering Data Snooping Bias

Popis výsledku v původním jazyce

Background: In the portfolio optimization area, most of the researches are focused on in-sample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it. Objectives: The objectives of the paper are to propose the approach to measure the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering possible data snooping bias. The proposed approach is demonstrated on the Markowitz minimum variance model and fuzzy probabilities minimum variance model. Methods/Approach: The proposed approach is based on a statistical test. It considers the null hypothesis that the analyzed portfolio optimization strategy creates a portfolio randomly, while the alternative hypothesis is that an optimized portfolio is created in such a way that the risk of the portfolio is lowered. Results: It is found out that the analyzed strategies indeed lower the risk of the portfolio during the market&apos;s decline phase of the global financial crisis and in 94% of the time in the period 2009-2019. Conclusions: The analyzed strategies lower the risk of the portfolio in the out-of-sample period.

Název v anglickém jazyce

Portfolio Optimization Efficiency Test Considering Data Snooping Bias

Popis výsledku anglicky

Background: In the portfolio optimization area, most of the researches are focused on in-sample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it. Objectives: The objectives of the paper are to propose the approach to measure the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering possible data snooping bias. The proposed approach is demonstrated on the Markowitz minimum variance model and fuzzy probabilities minimum variance model. Methods/Approach: The proposed approach is based on a statistical test. It considers the null hypothesis that the analyzed portfolio optimization strategy creates a portfolio randomly, while the alternative hypothesis is that an optimized portfolio is created in such a way that the risk of the portfolio is lowered. Results: It is found out that the analyzed strategies indeed lower the risk of the portfolio during the market&apos;s decline phase of the global financial crisis and in 94% of the time in the period 2009-2019. Conclusions: The analyzed strategies lower the risk of the portfolio in the out-of-sample period.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA18-13951S" target="_blank" >GA18-13951S: Nové přístupy k modelování finančních časových řad pomocí soft-computingu</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 periodika

Business Systems Research Journal

ISSN

1847-8344

e-ISSN

—

Svazek periodika

11

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

HR - Chorvatská republika

Počet stran výsledku

13

Strana od-do

73-85

Kód UT WoS článku

000585995000006

EID výsledku v databázi Scopus

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