Efficiency of the minmax portfolio on the european capital market - can we beat the market
| Autor: | Azra Zaimovic, Mirza Sikalo, Almira Arnaut-Berilo |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Capital market line
05 social sciences Asset allocation Passive management 010501 environmental sciences Portfolio investment 01 natural sciences Stock market index Microeconomics Social Market value added Portfolio optimization game theory linear programming efficiency indices 0502 economics and business Portfolio Business Portfolio optimization Sosyal 050203 business & management 0105 earth and related environmental sciences |
| Zdroj: | Volume: 6, Issue: 2 78-87 Journal of Business Economics and Finance |
| ISSN: | 2146-7943 |
| DOI: | 10.17261/pressacademia.2017.497 |
| Popis: | Purpose- This paper presents game theory approach for solving problem of the optimal investment portfolio selection. Methodology- Model was formed on the basis of historical returns on stocks presented as a matrix of payments. The goal is seeking the minimum between the largest potential losses, and therefore it is called minmax model. The main objective is to answer whether the minimax model tool performs better than the stock market index, and to verify the relationship between the established Markowitz meanvariance (MV) efficient portfolios and minmax optimum portfolio. We use data from the European capital market and Euro Stoxx 50 index as a reference index in the period 2004-2015, which we divided into two parts. We compared and analyzed the performance of the portfolios created through minimax model with the performance of market index and MV model in the actual investment period and it proved to be dominant and more successful. Findings- Results speak in favor of minmax portfolio model as effective passive investment strategy. It is possible to maximize returns over even longer periods of up to year without changing portfolio investments, i.e. without frequent trading and not just to gain market return, but to beat the market by this technical investing. Conclusion- Minmax model could be used for asset allocation in portfolio investments and that there is a real possibility to beat the market using minimax model. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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