PL EN


2013 | 135 | 102-120
Article title

Weryfikacja odporno-bayesowskiego modelu alokacji dla różnych typów rozkładów - podejście symulacyjne

Content
Title variants
EN
Verification of the Robust-Bayesian Asset Allocation Model for Different Types of Distribution - Simulation Approach
Languages of publication
PL
Abstracts
EN
In the paper robust Bayesian allocation method was verified for different distributions of returns using simulation approach. An impact of estimation error on the portfolio risk was examined when portfolios were built as a solution to the problem of maximizing expected return with restrictions imposed on its variance. Classical Markowitz approach results were compared to the robust Bayesian approach. Using simulations it was shown that in robust Bayesian method a fraction of samples where a portfolio risk exceeded its maximum limit as well as mean excess risk were much lower than in the classic approach. Moreover extending robust allocation with Bayesian approach significantly affects the portfolio riskiness. This results also holds if the distribution of returns in nonnormal although the differences are smaller.
Year
Volume
135
Pages
102-120
Physical description
Contributors
References
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  • Meucci A. (2006): Robust Bayesian Allocation. Working paper.
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  • Orwat-Acedańska A. (2012): Ocena ryzyka portfela w alokacji odpornej przy różnych typach rozkładów - podejście symulacyjne. Analiza szeregów czasowych a statystyczny pomiar ryzyka. Red. G. Trzpiot. Wydawnictwo Uniwersytetu Ekonomicznego, Katowice.
  • Stürm J. (1999): Using SeDuMi 1.02, MATLAB Toolbox for Optimization Over Symmetric Cones. "Optimization Methods and Software", No. 11-12.
  • Tütüncü R.H., Koenig M. (2004): Robust Asset Allocation. "Annals of Operations Research", No. 132.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-27f17774-4685-4dc9-8bae-bdb44f6e2043
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