The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR

• Authors: Klaudia Jarno , Łukasz Smaga

Abstracts

EN

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint.

Keywords

EN

Bootstrap; confidence intervals; Sharpe ratio; TailVaR; stock market index

• Publisher: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
• Journal: Journal of Banking and Financial Economics
• Year: 2020
• Issue: 1(13)
• Pages: 40-50

Dates

published

2020

Contributors

author

Klaudia Jarno

• Poznań University of Economics and Business

• https://orcid.org/0000000190349246

author

Łukasz Smaga

• Adam Mickiewicz University, Faculty of Mathematics and Computer Science

• https://orcid.org/0000000224428816

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Identifiers

DOI

10.7172/2353-6845.jbfe.2020.1.3

Biblioteka Nauki

2046423