Have a personal or library account? Click to login
Portfolio Optimization Efficiency Test Considering Data Snooping Bias Cover

Portfolio Optimization Efficiency Test Considering Data Snooping Bias

By: Aleš Kresta and  Anlan Wang  
Open Access
|Oct 2020

References

  1. 1. Aronson, D. (2011). Evidence-based technical analysis: applying the scientific method and statistical inference to trading signals, Wiley, New Jersey.
  2. 2. Babazadeh, H., Esfahanipour, A. (2019), “A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost“, Journal of Computational and Applied Mathematics, Vol. 361, No. 1, pp. 313-342.10.1016/j.cam.2018.10.039
  3. 3. Bailey, D. H., Borwein, J. M., de Prado, M. L., Zhu, Q. J. (2017), “The probability of backtest overfitting “, Journal of Computational Finance, Vol. 20, No. 4, pp. 39-69.
  4. 4. Bailey, D. H., Borwein, J. M., de Prado, M. L., Zhu, Q. J. (2014), „Pseudomathematics and financial charlatanism: the effects of backtest over fitting on out-of-sample performance“, Notices of the AMS, Vol. 61, No. 5, pp. 458-471.
  5. 5. Biglova, A., Ortobelli, S., Rachev, S., Stoyanov, S. (2004), “Different approaches to risk estimation in portfolio theory“, Journal of Portfolio Management, Vol. 31, No. 1, pp. 103-112.10.3905/jpm.2004.443328
  6. 6. Chekhlov, A., Uryasev S., Zabarankin M. (2005), “Drawdown measure in portfolio optimization“, International Journal of Theoretical and Applied Finance, Vol. 8, No. 1, pp. 13-58.10.1142/S0219024905002767
  7. 7. DeMiguel, V., Garlappi, L., Uppal, R. (2009), “Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy“, Review of Financial Studies, Vol. 22, No. 5, pp. 1915-1953.10.1093/rfs/hhm075
  8. 8. Farinelli, S., Ferreira, M., Rossello, D., Thoeny, M., Tibiletti, L. (2008), “Beyond Sharpe ratio: optimal asset allocation using different performance ratios“, Journal of Banking & Finance, Vol. 32, No. 10, pp. 2057-2063.10.1016/j.jbankfin.2007.12.026
  9. 9. Fulga, C. (2016), “Portfolio optimization under loss aversion“, European Journal of Operational Research, Vol. 251, No. 1, pp. 310-322.10.1016/j.ejor.2015.11.038
  10. 10. James, W., Stein, C. (1961), “Estimation with quadratic loss“, in Neyman, J. (Ed.), Fourth Berkeley Symposium on Mathematical Statistics and Probability, 20-30 June, University of California Press, Berkeley, pp. 361-379.
  11. 11. Jorion, P. (1986), “Bayes-Stein estimation for portfolio analysis“, The Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, pp. 279-292.10.2307/2331042
  12. 12. Kalayci, C., Ertenlice, O., Akbay, M. (2019), “A comprehensive review of deterministic models and applications for mean-variance portfolio optimization“, Expert Systems with Applications, Vol. 125, pp. 345-368.10.1016/j.eswa.2019.02.011
  13. 13. Konno, H., Yamazaki, H. (1991), “Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock-market“, Management Science, Vol. 37, No. 5, pp. 591-531.10.1287/mnsc.37.5.519
  14. 14. Lwin, K. T., Qu, R., MacCarthy, B. L. (2017), “Mean-VaR portfolio optimization: a nonparametric approach“, European Journal of Operational Research, Vol. 260, No. 2, pp. 751-766.10.1016/j.ejor.2017.01.005
  15. 15. Magdon-Ismail, M., Atiya, A. F., Pratap, A., Abu-Mostafa, Y. S. (2004), “On the maximum drawdown of a Brownian motion“, Journal of Applied Probability, Vol. 41, No. 1, pp. 147-161.10.1239/jap/1077134674
  16. 16. Markowitz, H. (1952), “Portfolio selection“, The Journal of Finance, Vol. 7, No. 1, pp. 77-91.
  17. 17. Ranković, V., Drenovak, M., Urosevic, B., Jelic, R. (2016), “Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach“, Computers & Operations Research, Vol. 72, No. 1, pp. 83-92.10.1016/j.cor.2016.01.014
  18. 18. Shalit, H., Yitzhaki, S. (1984), “Mean Gini, portfolio theory and pricing of risky assets“, Journal of Finance, Vol. 39, No. 5, pp. 1449-1468.10.1111/j.1540-6261.1984.tb04917.x
  19. 19. Sharpe, W. F. (1966), “Mutual fund performance“, Journal of Business, Vol. 39, No. 1, pp. 119-138.10.1086/294846
  20. 20. Sharpe, W. F. (1994), “The Sharpe ratio“, Journal of Portfolio Managemet, Vol. 21, No. 1, pp. 49-58.10.3905/jpm.1994.409501
  21. 21. Solares, E., Coello, C., Fernandez, E., Navarro, J. (2019), “Handling uncertainty through confidence intervals in portfolio optimization“, Swarm and Evolutionary Computation, Vol. 44, No. 1, pp. 774-787.10.1016/j.swevo.2018.08.010
  22. 22. Stein, C. (1956), “Inadmissibility of the usual estimator for the mean of a multivariate normal distribution“, in Neyman, J. (Ed.), Third Berkeley Symposium on Mathematical Statistics and Probability, December 1954 and July-August 1955, University of California Press, Berkeley, pp. 197-206.10.1525/9780520313880-018
  23. 23. Taleb, N. N. (2007). Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets, Penguin Books, London.
  24. 24. Tanaka, H., Guo, P., Türksen, B. (2000), “Portfolio selection based on fuzzy probabilities and possibility distributions“, Fuzzy Sets and Systems, Vol. 111, No. 3, pp. 387-397.10.1016/S0165-0114(98)00041-4
  25. 25. White, H. (2000), “A reality check for data snooping“, Econometrica, Vol. 68, No. 5, pp. 1097-1126.10.1111/1468-0262.00152
  26. 26. Young, M. R. (1998), “A minimax portfolio selection rule with linear programming solution“, Management Science, Vol. 44, No. 5, pp. 673-683.10.1287/mnsc.44.5.673
DOI: https://doi.org/10.2478/bsrj-2020-0016 | Journal eISSN: 1847-9375 | Journal ISSN: 1847-8344
Language: English
Page range: 73 - 85
Submitted on: Jan 31, 2020
Accepted on: Jul 6, 2020
Published on: Oct 29, 2020
Published by: IRENET - Society for Advancing Innovation and Research in Economy
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2020 Aleš Kresta, Anlan Wang, published by IRENET - Society for Advancing Innovation and Research in Economy
This work is licensed under the Creative Commons Attribution 4.0 License.