Mean-variance vs trend-risk portfolio selection

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F24%3A10252345" target="_blank" >RIV/61989100:27510/24:10252345 - isvavai.cz</a>

Výsledek na webu

<a href="https://link.springer.com/article/10.1007/s11846-023-00660-x" target="_blank" >https://link.springer.com/article/10.1007/s11846-023-00660-x</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11846-023-00660-x" target="_blank" >10.1007/s11846-023-00660-x</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Mean-variance vs trend-risk portfolio selection

Popis výsledku v původním jazyce

In this paper, we provide an alternative trend (time)-dependent risk measure to Ruttiens&apos; accrued returns variability (Ruttiens in Comput Econ 41:407-424, 2013). We propose to adjust the calculation procedure to achieve an alternative risk measure. Our modification eliminates static mean component and it is based on the deviation of squared dispersions, which reflects the trend (time factor) precisely. Moreover, we also present a new perspective on dependency measures and we apply a PCA to a new correlation matrix in order to determine a parametric and nonparametric return approximation. In addition, the two-phase portfolio selection strategy is considered, where the mean-variance portfolio selection strategies represent the first optimization. The second one is the minimization of deviations from their trend leading to identical mean and final wealth. Finally, an empirical analysis verify the property and benefit of portfolio selection strategies based on these trend-dependent measures. In particular, the ex-post results show that applying the modified measure allows us to reduce the risk with respect to the trend of several portfolio strategies. (C) 2023, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.

Název v anglickém jazyce

Mean-variance vs trend-risk portfolio selection

Popis výsledku anglicky

In this paper, we provide an alternative trend (time)-dependent risk measure to Ruttiens&apos; accrued returns variability (Ruttiens in Comput Econ 41:407-424, 2013). We propose to adjust the calculation procedure to achieve an alternative risk measure. Our modification eliminates static mean component and it is based on the deviation of squared dispersions, which reflects the trend (time factor) precisely. Moreover, we also present a new perspective on dependency measures and we apply a PCA to a new correlation matrix in order to determine a parametric and nonparametric return approximation. In addition, the two-phase portfolio selection strategy is considered, where the mean-variance portfolio selection strategies represent the first optimization. The second one is the minimization of deviations from their trend leading to identical mean and final wealth. Finally, an empirical analysis verify the property and benefit of portfolio selection strategies based on these trend-dependent measures. In particular, the ex-post results show that applying the modified measure allows us to reduce the risk with respect to the trend of several portfolio strategies. (C) 2023, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

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

2024

Kód důvěrnosti údajů

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

Název periodika

Review of Managerial Science

ISSN

1863-6683

e-ISSN

1863-6691

Svazek periodika

18

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

32

Strana od-do

2047-2078

Kód UT WoS článku

000967804200001

EID výsledku v databázi Scopus

2-s2.0-85152650836