About: Ex-post portfolio comparison in the BRICs stocks markets

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we analyse the performance of classical portfolio strategies in the BRIC's stock markets under the assumption that portfolio returns are approximated by a non-parametric Markov chain. In particular, we propose an ex-post analysis to evaluate the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly. We compare the ex-post sample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markov approximation of the portfolio returns. Considering these two investment strategies, we try to evaluate whether these markets can be a valid investment for non-satiable and risk averse investors. In this paper we analyse the performance of classical portfolio strategies in the BRIC's stock markets under the assumption that portfolio returns are approximated by a non-parametric Markov chain. In particular, we propose an ex-post analysis to evaluate the profitability of the classic investment strategies in each of the four BRICs markets individually and in all markets jointly. We compare the ex-post sample paths of the wealth obtained optimizing a mean-variance performance with and without assuming the Markov approximation of the portfolio returns. Considering these two investment strategies, we try to evaluate whether these markets can be a valid investment for non-satiable and risk averse investors. (en)
Title	Ex-post portfolio comparison in the BRICs stocks markets Ex-post portfolio comparison in the BRICs stocks markets (en)
skos:prefLabel	Ex-post portfolio comparison in the BRICs stocks markets Ex-post portfolio comparison in the BRICs stocks markets (en)
skos:notation	RIV/61989100:27510/14:86091121!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...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Ortobelli, Sergio Lozza Petronio, Filomena
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	16129
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86091121
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Sharpe performance; financial markets; portfolio optimization; Markov processes (en)
http://linked.open.../riv/klicoveSlovo	financial markets portfolio optimization Markov processes Sharpe performance
http://linked.open...ontrolniKodProRIV	[4D00F90350AF]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (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...iv/tvurceVysledku	Ortobelli, Sergio Lozza Petronio, Filomena
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-08 (xsd:date)
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-3631-7
http://localhost/t...ganizacniJednotka	27510

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