Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain conditional correlation matrices. The analysis includes a comparison of global minimum variance (GMV) and newly proposed least correlated assets (LCA) portfolio formations based on individual shares and market indexes. Performance of constituted portfolios showed that dynamic form of portfolio optimization is an efficient tool in profit maximization and volatility minimization. The study shows that there is a potential for improvements of proposed methods. LCA portfolio formation showed that the number of parameters could be effectively lowered without a loss of profit.
|Date of creation:||Aug 2013|
|Date of revision:||Aug 2013|
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2013_12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.