The Impact of Technical Analysis and Stochastic Dominance Rules in Portfolio Process

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247913" target="_blank" >RIV/61989100:27510/21:10247913 - isvavai.cz</a>

Výsledek na webu

<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Impact of Technical Analysis and Stochastic Dominance Rules in Portfolio Process

Popis výsledku v původním jazyce

During the last decades, modern portfolio theory has become one of the most applied portfolio approaches by investors. However, this theory can be regarded as a pillar of which in recent years has been derived and adapted a large number of similar portfolio models. The possible approach is to combine a general portfolio model with the discipline of the financial area to find a more suitable strategy for the investment making process. This paper aims to analyse the impact of several technical analysis indicators and stochastic dominance approach in the portfolio decision process in various markets during different time horizons capturing different market conditions. Therefore, groups of portfolio models minimizing risk and maximizing performance ratio are suggested. Two strategies of implementation technical analysis rules and stochastic dominance rule into the portfolio creation process are considered. Strategy 1 aims at eliminating the whole market systemic risk with the alternative of investing in a risk-free asset. The second strategy focused on the use of assets meeting particular alarm rules. It was evident from the results that using strategy 1 to find systemic risk during the crisis reduced the risk of the portfolio with similar profitability. Oppositely, strategy 2 is more effective in a period with a growing global economy.

Název v anglickém jazyce

The Impact of Technical Analysis and Stochastic Dominance Rules in Portfolio Process

Popis výsledku anglicky

During the last decades, modern portfolio theory has become one of the most applied portfolio approaches by investors. However, this theory can be regarded as a pillar of which in recent years has been derived and adapted a large number of similar portfolio models. The possible approach is to combine a general portfolio model with the discipline of the financial area to find a more suitable strategy for the investment making process. This paper aims to analyse the impact of several technical analysis indicators and stochastic dominance approach in the portfolio decision process in various markets during different time horizons capturing different market conditions. Therefore, groups of portfolio models minimizing risk and maximizing performance ratio are suggested. Two strategies of implementation technical analysis rules and stochastic dominance rule into the portfolio creation process are considered. Strategy 1 aims at eliminating the whole market systemic risk with the alternative of investing in a risk-free asset. The second strategy focused on the use of assets meeting particular alarm rules. It was evident from the results that using strategy 1 to find systemic risk during the crisis reduced the risk of the portfolio with similar profitability. Oppositely, strategy 2 is more effective in a period with a growing global economy.

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

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název statě ve sborníku

MME2021 : Proceedings of the 39th International Conference on Mathematical Methods in Economics : 8th - 10th September 2021, Prague, Czech Republic, EU

ISBN

978-80-213-3126-6

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

343-348

Název nakladatele

Czech University of Life Sciences Prague

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

8. 9. 2021

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000936369700056