About: International portfolio selection with Markov processes and liquidity constraints

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper proposes an ex-post comparison of portfolio selection strate-gies applied to 64 stock exchange markets during the period 2008-2011. Assets are considered according to three different classes of liquidity constraints which differ for their average traded daily value. Moreover, in order to simplify the computation-al complexity of the choice we preselected assets among the global market consider-ing different return characteristics: the joint Markovian behavior of the returns; their association with market stochastic bounds and their ex-ante reward-risk perfor-mance. For each liquidity class of assets we compare the ex-post performance of three portfolio selection strategies: one of them is based on the maximization of the Sharpe ratio; the other two are based on the maximization of a reward-risk perfor-mance measure that considers a Markovian evolution of the portfolio returns. The ex-post analysis shows that the reward-risk functionals allow better performance in terms of final wealth and demonstrates, with respect to liquidity classes, different features of portfolio composition in terms of assets nationality. This paper proposes an ex-post comparison of portfolio selection strate-gies applied to 64 stock exchange markets during the period 2008-2011. Assets are considered according to three different classes of liquidity constraints which differ for their average traded daily value. Moreover, in order to simplify the computation-al complexity of the choice we preselected assets among the global market consider-ing different return characteristics: the joint Markovian behavior of the returns; their association with market stochastic bounds and their ex-ante reward-risk perfor-mance. For each liquidity class of assets we compare the ex-post performance of three portfolio selection strategies: one of them is based on the maximization of the Sharpe ratio; the other two are based on the maximization of a reward-risk perfor-mance measure that considers a Markovian evolution of the portfolio returns. The ex-post analysis shows that the reward-risk functionals allow better performance in terms of final wealth and demonstrates, with respect to liquidity classes, different features of portfolio composition in terms of assets nationality. (en)
Title	International portfolio selection with Markov processes and liquidity constraints International portfolio selection with Markov processes and liquidity constraints (en)
skos:prefLabel	International portfolio selection with Markov processes and liquidity constraints International portfolio selection with Markov processes and liquidity constraints (en)
skos:notation	RIV/61989100:27510/13:86086863!RIV14-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.30.0016), P(GA13-13142S), S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Tichý, Tomáš Toninelli, Daniele Ortobelli, Sergio Lozza
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	80822
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86086863
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	portfolio selection strategies, Markov chains, liquidity constraints (en)
http://linked.open.../riv/klicoveSlovo	liquidity constraints portfolio selection strategies Markov chains
http://linked.open...ontrolniKodProRIV	[F9A1771BC245]
http://linked.open...v/mistoKonaniAkce	Jihlava
http://linked.open...i/riv/mistoVydani	Jihlava
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	4 (xsd:int)
http://linked.open...vavai/riv/projekt	Verification of suitability of particular Lévy models for selected issues of financial modeling Opportunities for young researchers IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Toninelli, Daniele Ortobelli, Sergio Lozza Angelleli, Enrico
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	College of Polytechnics Jihlava
https://schema.org/isbn	978-80-87035-76-4
http://localhost/t...ganizacniJednotka	27510

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