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Multiple tests for the performance of different investment strategies
Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account … for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the …
Persistent link: https://www.econbiz.de/10008939375
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919
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Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory … so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
Persistent link: https://www.econbiz.de/10003846947
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
Persistent link: https://www.econbiz.de/10012989258
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … estimation risk or misspecification risk. …
Persistent link: https://www.econbiz.de/10010344866
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Testing Equality of Modified Sharpe Ratios
Ardia, David - 2017
between the Sharpe ratio and modified Sharpe ratio test for performance testing on hedge fund return data …
Persistent link: https://www.econbiz.de/10012972564
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Testing for Regime Changes in Portfolios with a Large Number of Assets : A Robust Approach to Factor Heteroskedasticity
Massacci, Daniele - 2020
We develop a new test for threshold-type regime changes in the risk exposures in portfolios with a large number of financial assets whose returns exhibit an approximate factor structure. Unlike existing procedures to detect discrete shifts in factor models, our test is robust to regime-specific...
Persistent link: https://www.econbiz.de/10012853517
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Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
Anyfantaki, Sofia; Maasoumi, Esfandiar; Ren, Jue; … - 2021
with block bootstrap for consistent estimation of p-values. Our test is asymptotically exact and performs well in Monte …
Persistent link: https://www.econbiz.de/10013241756
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A robust test for monotonicity in asset returns
Taufemback, Cleiton Guollo; Troster, Victor; Shahbaz, … - In: Journal of time series econometrics 14 (2022) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10013260108