Evaluation of strategy portfolios

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F24%3A10254107" target="_blank" >RIV/61989100:27510/24:10254107 - isvavai.cz</a>

Výsledek na webu

<a href="https://link.springer.com/article/10.1007/s10287-023-00497-5" target="_blank" >https://link.springer.com/article/10.1007/s10287-023-00497-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10287-023-00497-5" target="_blank" >10.1007/s10287-023-00497-5</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Evaluation of strategy portfolios

Popis výsledku v původním jazyce

People usually create a portfolio in order to diversify the risk coming from individual investments. To get a high yield with a good level of diversification, investors usually seek professional advice from portfolio managers. However, the true performance of an optimized portfolio usually depends on the correctness of the estimates of the distribution of future returns, which is often a matter of luck rather than skill. Thus, the optimization models may not be better than randomly selected portfolios. Our aim is to find how the so-called strategy portfolios, i.e., portfolios obtained by some decision optimized for a long-run horizon, perform compared to a benchmark, namely, a random investment, under specific market conditions. For this purpose, we evaluate several portfolio strategies over two periods of crisis: the subprime mortgage crisis and the Covid-19 pandemic, as well as run a moving window analysis over a longer horizon. In each case, the results are compared with the performance of random-weight portfolios. We find that if the strategy is minimization, the portfolios perform well; however, for the maximization of the objectives, the results are rather mixed.

Název v anglickém jazyce

Evaluation of strategy portfolios

Popis výsledku anglicky

People usually create a portfolio in order to diversify the risk coming from individual investments. To get a high yield with a good level of diversification, investors usually seek professional advice from portfolio managers. However, the true performance of an optimized portfolio usually depends on the correctness of the estimates of the distribution of future returns, which is often a matter of luck rather than skill. Thus, the optimization models may not be better than randomly selected portfolios. Our aim is to find how the so-called strategy portfolios, i.e., portfolios obtained by some decision optimized for a long-run horizon, perform compared to a benchmark, namely, a random investment, under specific market conditions. For this purpose, we evaluate several portfolio strategies over two periods of crisis: the subprime mortgage crisis and the Covid-19 pandemic, as well as run a moving window analysis over a longer horizon. In each case, the results are compared with the performance of random-weight portfolios. We find that if the strategy is minimization, the portfolios perform well; however, for the maximization of the objectives, the results are rather mixed.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA23-06280S" target="_blank" >GA23-06280S: Nové přístupy pro předvídání finančních časových řad v rámci fuzzy-pravděpodobnostního prostředí</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

Computational Management Science

ISSN

1619-697X

e-ISSN

1619-6988

Svazek periodika

21

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

27

Strana od-do

17

Kód UT WoS článku

001145566000001

EID výsledku v databázi Scopus

2-s2.0-85182603012