scholarly journals Portfolio Optimization Efficiency Test Considering Data Snooping Bias

2020 ◽  
Vol 11 (2) ◽  
pp. 73-85
Author(s):  
Aleš Kresta ◽  
Anlan Wang
Keyword(s):  
Portfolio Optimization ◽  
Global Financial Crisis ◽  
Alternative Hypothesis ◽  
Minimum Variance ◽  
Optimization Strategy ◽  
Data Snooping ◽  
Variance Model ◽  
Out Of Sample ◽  
Fuzzy Probabilities ◽  
The Global Financial Crisis

AbstractBackground: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it.Objectives: The objective of the paper is to propose the approach to measuring the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering a possible data snooping bias. The proposed approach is demonstrated on the Markowitz minimum variance model and the fuzzy probabilities minimum variance model.Methods/Approach: The proposed approach is based on a statistical test. The null hypothesis is that the analysed portfolio optimization strategy creates a portfolio randomly, while the alternative hypothesis is that an optimized portfolio is created in such a way that the risk of the portfolio is lowered.Results: It is found out that the analysed strategies indeed lower the risk of the portfolio during the market’s decline in the global financial crisis and in 94% of the time in the 2009-2019 period.Conclusions: The analysed strategies lower the risk of the portfolio in the out-of-sample period.

scholarly journals Desempenho Fora-da-Amostra da Otimização Robusta de Carteiras

2010 ◽  
Vol 8 (2) ◽  
pp. 141 ◽  
Author(s):  
André Alves Portela Santos
Keyword(s):  
Robust Optimization ◽  
Portfolio Optimization ◽  
Estimation Error ◽  
Simulated Data ◽  
Minimum Variance ◽  
Optimization Techniques ◽  
Practical Implementation ◽  
Out Of Sample ◽  
Portfolio Optimization Problem ◽  
Over Time

Robust optimization has been receiving increased attention in the recent few years due to the possibility of considering the problem of estimation error in the portfolio optimization problem. A question addressed so far by very few works is whether this approach is able to outperform traditional portfolio optimization techniques in terms of out-of-sample performance. Moreover, it is important to know whether this approach is able to deliver stable portfolio compositions over time, thus reducing management costs and facilitating practical implementation. We provide empirical evidence by assessing the out-of-sample performance and the stability of optimal portfolio compositions obtained with robust optimization and with traditional optimization techniques. The results indicated that, for simulated data, robust optimization performed better (both in terms of Sharpe ratios and portfolio turnover) than Markowitz's mean-variance portfolios and similarly to minimum-variance portfolios. The results for real market data indicated that the differences in risk-adjusted performance were not statistically different, but the portfolio compositions associated to robust optimization were more stable over time than traditional portfolio selection techniques.

scholarly journals Dynamic risk-based optimization on cryptocurrencies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bayu Adi Nugroho
Keyword(s):  
Transaction Cost ◽  
Dynamic Optimization ◽  
Design Methodology ◽  
Minimum Variance ◽  
Multivariate Garch ◽  
Optimization Strategy ◽  
Content Type ◽  
Out Of Sample ◽  
Rolling Windows ◽  
Practical Implications

PurposeIt is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP).Design/methodology/approachThis study applied dynamic covariances from multivariate GARCH(1,1) with Student’s-t-distribution. This research also constructed static optimization from the conventional MVP, ERC and MDP as comparison. Moreover, the optimization involved transaction cost and out-of-sample analysis from the rolling windows method. The sample consisted of ten significant cryptocurrencies.FindingsDynamic optimization enhanced risk-adjusted return. Moreover, dynamic MDP and ERC could win the naïve strategy (1/N) under various estimation windows, and forecast lengths when the transaction cost ranging from 10 bps to 50 bps. The researcher also used another researcher's sample as a robustness test. Findings showed that dynamic optimization (MDP and ERC) outperformed the benchmark.Practical implicationsSophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio.Originality/valueTo the best of the author’s knowledge, this is the first paper that studies the dynamic optimization on MVP, ERC and MDP using DCC and ADCC-GARCH with multivariate-t-distribution and rolling windows method.

scholarly journals MONEY AND MONETARY POLICY IN THE EUROZONE: AN EMPIRICAL ANALYSIS DURING CRISES

2016 ◽  
Vol 21 (3) ◽  
pp. 677-707 ◽  
Author(s):  
Jonathan Benchimol ◽  
André Fourçans
Keyword(s):  
Monetary Policy ◽  
Global Financial Crisis ◽  
Dynamic Stochastic General Equilibrium ◽  
New Keynesian ◽  
Forecasting Performance ◽  
Out Of Sample ◽  
Dynamic Stochastic ◽  
Bayesian Estimations ◽  
The Global Financial Crisis ◽  
The Impact

This paper analyzes the role of money and monetary policy as well as the forecasting performance of New Keynesian dynamic stochastic general equilibrium models with and without separability between consumption and money. The study is conducted over three crisis periods in the Eurozone, namely, the ERM crisis, the dot-com crisis, and the global financial crisis (GFC). The results of successive Bayesian estimations demonstrate that during these crises, the nonseparable model generally provides better out-of-sample output forecasts than the baseline model. We also demonstrate that money shocks have some impact on output variations during crises, especially in the case of the GFC. Furthermore, the response of output to a money shock is more persistent during the GFC than during the other crises. The impact of monetary policy also changes during crises. Insofar as the GFC is concerned, this impact increases at the beginning of the crisis, but decreases sharply thereafter.

On the formation of a New Paradigm of fiscal Policy

2013 ◽  
pp. 152-158 ◽  
Author(s):  
V. Senchagov
Keyword(s):  
Public Finance ◽  
Fiscal Policy ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Domestic Demand ◽  
Real Economy ◽  
New Paradigm ◽  
Monetary Aggregate ◽  
The Past ◽  
The Global Financial Crisis

Due to Russia’s exit from the global financial crisis, the fiscal policy of withdrawing windfall spending has exhausted its potential. It is important to refocus public finance to the real economy and the expansion of domestic demand. For this goal there is sufficient, but not realized financial potential. The increase in fiscal spending in these areas is unlikely to lead to higher inflation, given its actual trend in the past decade relative to M2 monetary aggregate, but will directly affect the investment component of many underdeveloped sectors, as well as the volume of domestic production and consumer demand.

ASPEK ETIK DAN SISTEMIK DALAM EKONOMI DAN BISNIS ISLAM

ALQALAM ◽  
2014 ◽  
Vol 31 (1) ◽  
pp. 187
Author(s):  
Budi Harsanto
Keyword(s):  
Financial Crisis ◽  
Business Ethics ◽  
Moral Hazard ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Research Question ◽  
Academic Journals ◽  
Lehman Brothers ◽  
The World ◽  
The Global Financial Crisis

The fall of Enron, Lehman Brothers and other major financial institution in the world make researchers conduct various studies about crisis. The research question in this study is, from Islamic economics and business standpoint, why the global financial crisis can happen repeatedly. The purpose is to contribute ideas regarding Islamic viewpoint linked with the global financial crisis. The methodology used is a theoretical-reflective to various article published in academic journals and other intellectual resources with relevant themes. There are lots of analyses on the causes of the crisis. For discussion purposes, the causes divide into two big parts namely ethics and systemic. Ethics contributed to the crisis by greed and moral hazard as a theme that almost always arises in the study of the global financial crisis. Systemic means that the crisis can only be overcome with a major restructuring of the system. Islamic perspective on these two aspect is diametrically different. At ethics side, there is exist direction to obtain blessing in economics and business activities. At systemic side, there is rule of halal and haram and a set of mechanism of economics system such as the concept of ownership that will early prevent the seeds of crisis. Keywords: Islamic economics and business, business ethics, financial crisis 

Mobilising resiliency in times of economic hardship: Emerging themes in migrant worker remittance payments

2014 ◽  
Vol 7 (2) ◽  
pp. 159-167
Author(s):  
Kevin Garlan
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Migrant Worker ◽  
Economic Hardship ◽  
Priority Areas ◽  
Mobile Payments ◽  
Payment Methods ◽  
The Future ◽  
Emerging Themes ◽  
The Global Financial Crisis

This paper analyses the nexus of the global financial crisis and the remittance markets of Mexico and India, along with introducing new and emerging payment technologies that will help facilitate the growth of remittances worldwide. Overall resiliency is found in most markets but some are impacted differently by economic hardship. With that we also explore the area of emerging payment methods and how they can help nations weather this economic strife. Mobile payments are highlighted as one of the priority areas for the future of transferring monetary funds, and we assess their ability to further facilitate global remittances.

The Pandemic Exposes an Ailing US Governance Model

2020 ◽  
Vol 119 (820) ◽  
pp. 310-316
Author(s):  
Alasdair Roberts
Keyword(s):  
Financial Crisis ◽  
Developing World ◽  
Global Financial Crisis ◽  
Political Polarization ◽  
Washington Consensus ◽  
The Past ◽  
Governance Model ◽  
Governance Challenges ◽  
The Global Financial Crisis ◽  
Current Governance

Since the 1990s and Bill Clinton’s embrace of key parts of Ronald Reagan’s legacy, mainstream US governance has been guided by a bipartisan consensus around a formula of shrinking the federal government’s responsibilities and deregulating the economy. Hailed as the ultimate solution to the age-old problem of governing well, the formula was exported to the developing world as the Washington Consensus. Yet growing political polarization weakened the consensus, and in a series of three major crises over the past two decades—9/11, the global financial crisis, and the COVID-19 pandemic—US policymakers opted for pragmatism rather than adherence to the old formula, which appears increasingly inadequate to cope with current governance challenges.

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