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
Jarno Klaudia, Smaga Łukasz
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.
Year of publication: |
2020
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Authors: | Klaudia, Jarno ; Łukasz, Smaga |
Published in: |
Journal of banking and financial economics. - Warsaw : University of Warsaw, Faculty of Management, ISSN 2353-6845, ZDB-ID 2818912-7. - Vol. 1.2020, 13, p. 40-50
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Subject: | Bootstrap | confidence intervals | Sharpe ratio | TailVaR | stock market index | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Risiko | Risk | Schätzung | Estimation |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.7172/2353-6845.jbfe.2020.1.3 [DOI] |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012887711
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