Does a more sophisticated model lead to a better description and solution of a real portfolio selection problem?

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Does a more sophisticated model lead to a better description and solution of a real portfolio selection problem?

Popis výsledku v původním jazyce

The investment decision making, or investment portfolio selection, is not an elementary process because of namely an unstable, vague elements on the capital market. One of them is a return. This element can be expressed in a simple form as mean or in advanced form as (triangular) fuzzy number which could represent better its instability. To make a portfolio, a well-known Markowitz model (with some appropriate modifications) can be applied. The main and interesting research question is whether the portfolios (with crisp and fuzzy returns) are the same or not. If yes, then a use of more complex (more sophisticated) fuzzy approach is unnecessary and the decision making process may become easier. Otherwise, the levels of the main monitored characteristics of the portfolios are compared to clearly declare which model provides a better solution. To make a comprehensive analysis, a few investment situations (with various groups of open unit trusts in terms of two time periods) are studied. The empirical analysis is carried out on the open unit trusts that are still more popular in the Czech Republic. The portfolios are made for each investment situation via both models. Their composition is analysed and compared. It turns out that a more sophisticated (fuzzy) model may not always be the most appropriate tool for making a portfolio.

Název v anglickém jazyce

Does a more sophisticated model lead to a better description and solution of a real portfolio selection problem?

Popis výsledku anglicky

The investment decision making, or investment portfolio selection, is not an elementary process because of namely an unstable, vague elements on the capital market. One of them is a return. This element can be expressed in a simple form as mean or in advanced form as (triangular) fuzzy number which could represent better its instability. To make a portfolio, a well-known Markowitz model (with some appropriate modifications) can be applied. The main and interesting research question is whether the portfolios (with crisp and fuzzy returns) are the same or not. If yes, then a use of more complex (more sophisticated) fuzzy approach is unnecessary and the decision making process may become easier. Otherwise, the levels of the main monitored characteristics of the portfolios are compared to clearly declare which model provides a better solution. To make a comprehensive analysis, a few investment situations (with various groups of open unit trusts in terms of two time periods) are studied. The empirical analysis is carried out on the open unit trusts that are still more popular in the Czech Republic. The portfolios are made for each investment situation via both models. Their composition is analysed and compared. It turns out that a more sophisticated (fuzzy) model may not always be the most appropriate tool for making a portfolio.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název statě ve sborníku

Complementary Papers and Book of Abstracts of the 12th International Scientific Conference INPROFORUM 2018

ISBN

978-80-7394-736-1

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

16-22

Název nakladatele

Jihočeská univerzita v Českých Budějovicích

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

1. 11. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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