Zastosowanie metody bootstrapowej w analizie portfelowej
Application of Bootstrap Method for Portfolio Analysis
Author(s): Aneta Zglińska-PietrzakSubject(s): Economy, Financial Markets
Published by: Główny Urząd Statystyczny
Keywords: bootstrap simulations; portfolio analysis
Summary/Abstract: This paper presents Markowitz’s mean-variance portfolio optymalization theory with and without bootstrap simulations. It is assumed that means and covariances of the assets returns are known and the variance with respect to a fixed expected return is minimized. It is concluded that there are significant differences between portfolios with and without bootstrap method and that the resampling data leads to asset allocations that are less risky. This methodology is applied in the Warsaw Stock Exchange.
Journal: Przegląd Statystyczny. Statistical Review
- Issue Year: 59/2012
- Issue No: 3
- Page Range: 246-258
- Page Count: 13
- Language: Polish