About: Portfolio selection in the BRICs stocks markets using Markov processes

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper, we examine the performance of classical portfolio strategies in the BRIC's stock markets using a Markov approximation of the portfolio returns. In particular, we try to evaluate whether these markets can be a valid investment for non satiable and risk averse investors. First, we examine the main statistical characteristics of the returns in each market. Secondly, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process. Finally, we examine the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly, under the assumption the returns are approximated by a non parametric Markov chain. In particular, we compare the ex-post sample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markovian hypothesis. In this paper, we examine the performance of classical portfolio strategies in the BRIC's stock markets using a Markov approximation of the portfolio returns. In particular, we try to evaluate whether these markets can be a valid investment for non satiable and risk averse investors. First, we examine the main statistical characteristics of the returns in each market. Secondly, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process. Finally, we examine the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly, under the assumption the returns are approximated by a non parametric Markov chain. In particular, we compare the ex-post sample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markovian hypothesis. (en)
Title	Portfolio selection in the BRICs stocks markets using Markov processes Portfolio selection in the BRICs stocks markets using Markov processes (en)
skos:prefLabel	Portfolio selection in the BRICs stocks markets using Markov processes Portfolio selection in the BRICs stocks markets using Markov processes (en)
skos:notation	RIV/61989100:27510/14:86090962!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296), P(EE2.3.30.0016), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Lando, Tommaso Ortobelli, Sergio Lozza Petronio, Filomena
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	37668
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090962
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Sharpe performance; financial markets; portfolio selection; optimization problems; Markov processes (en)
http://linked.open.../riv/klicoveSlovo	financial markets Markov processes optimization problems portfolio selection Sharpe performance
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[DAF0996A8ACE]
http://linked.open...i/riv/nazevZdroje	INTERNATIONAL JOURNAL OF MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	4 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling Opportunities for young researchers
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	8
http://linked.open...iv/tvurceVysledku	Lando, Tommaso Ortobelli, Sergio Lozza Petronio, Filomena Tamborini, Lidia
issn	1998-0140
number of pages	8 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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