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Croatian Operational Research Review, Vol. 3 No. 1, 2012.

Izvorni znanstveni članak

USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT

Boris Radovanov ; Faculty of Economics Subotica, Subotica, Serbia
Aleksandra Marcikić ; Faculty of Economics Subotica, Subotica, Serbia

Puni tekst: engleski, pdf (165 KB) str. 68-79 preuzimanja: 3.364* citiraj
APA 6th Edition
Radovanov, B. i Marcikić, A. (2012). USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT. Croatian Operational Research Review, 3 (1), 68-79. Preuzeto s https://hrcak.srce.hr/96716
MLA 8th Edition
Radovanov, Boris i Aleksandra Marcikić. "USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT." Croatian Operational Research Review, vol. 3, br. 1, 2012, str. 68-79. https://hrcak.srce.hr/96716. Citirano 23.04.2019.
Chicago 17th Edition
Radovanov, Boris i Aleksandra Marcikić. "USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT." Croatian Operational Research Review 3, br. 1 (2012): 68-79. https://hrcak.srce.hr/96716
Harvard
Radovanov, B., i Marcikić, A. (2012). 'USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT', Croatian Operational Research Review, 3(1), str. 68-79. Preuzeto s: https://hrcak.srce.hr/96716 (Datum pristupa: 23.04.2019.)
Vancouver
Radovanov B, Marcikić A. USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT. Croatian Operational Research Review [Internet]. 2012 [pristupljeno 23.04.2019.];3(1):68-79. Dostupno na: https://hrcak.srce.hr/96716
IEEE
B. Radovanov i A. Marcikić, "USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT", Croatian Operational Research Review, vol.3, br. 1, str. 68-79, 2012. [Online]. Dostupno na: https://hrcak.srce.hr/96716. [Citirano: 23.04.2019.]

Sažetak
This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999), and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952). Based on the Monte Carlo simulation, data (samples) generation process determines the algorithms by using both,
parametric and nonparametric bootstrap techniques. Resampled efficiency provides the solution to use uncertain information without the need for constrains in portfolio optimization.
Parametric bootstrap process starts with a parametric model specification, where we apply Capital Asset Pricing Model. After the estimation of specified model, the series of residuals are used for
resampling process. On the other hand, nonparametric bootstrap divides series of price returns into the new series of blocks containing previous determined number of consecutive price returns. This procedure enables smooth resampling process and preserves the original structure of data series.

Ključne riječi
Resampled efficiency; Mean-Variance portfolio; parametric bootstrap; nonparametric bootstrap; Capital asset pricing model

Hrčak ID: 96716

URI
https://hrcak.srce.hr/96716

Posjeta: 3.580 *