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  1. 1 Studia Ekonomiczne

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  1. 1 2013

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  1. 1 Orwat-Acedańska A.

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

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Orwat-Acedańska A.
Studia Ekonomiczne
|
2013
|
vol. 135
102-120
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.
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