Portfolio Optimization Efficiency Test Considering Data Snooping Bias

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-09-30 DOI:10.2478/bsrj-2020-0016

A. Kresta, A. Wang

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引用次数: 1

Abstract

Abstract Background: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it. Objectives: The objective of the paper is to propose the approach to measuring the efficiency of the portfolio strategy based on the hypothesis inference methodology and considering a possible data snooping bias. The proposed approach is demonstrated on the Markowitz minimum variance model and the fuzzy probabilities minimum variance model. Methods/Approach: The proposed approach is based on a statistical test. The null hypothesis is that the analysed portfolio optimization strategy creates a portfolio randomly, while the alternative hypothesis is that an optimized portfolio is created in such a way that the risk of the portfolio is lowered. Results: It is found out that the analysed strategies indeed lower the risk of the portfolio during the market’s decline in the global financial crisis and in 94% of the time in the 2009-2019 period. Conclusions: The analysed strategies lower the risk of the portfolio in the out-of-sample period.

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考虑数据窥探偏差的投资组合优化效率检验

摘要背景:在投资组合优化领域，大多数研究都集中在样本投资组合优化方面。人们可能会问一个理性的问题，投资组合优化策略的效率是什么，以及如何衡量它。目的:本文的目的是提出一种基于假设推理方法并考虑可能的数据窥探偏差的投资组合策略效率度量方法。该方法在马科维茨最小方差模型和模糊概率最小方差模型上进行了验证。方法/方法:建议的方法是基于统计检验。零假设是分析的投资组合优化策略随机创建一个投资组合，而替代假设是优化的投资组合是以降低投资组合风险的方式创建的。结果发现，在全球金融危机期间市场下跌期间，所分析的策略确实降低了投资组合的风险，并在2009-2019年期间的94%的时间内降低了风险。结论:所分析的策略降低了投资组合在样本外期的风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.