IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2013_12.html
   My bibliography  Save this paper

Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries

Author

Abstract

The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain conditional correlation matrices. The analysis includes a comparison of global minimum variance (GMV) and newly proposed least correlated assets (LCA) portfolio formations based on individual shares and market indexes. Performance of constituted portfolios showed that dynamic form of portfolio optimization is an efficient tool in profit maximization and volatility minimization. The study shows that there is a potential for improvements of proposed methods. LCA portfolio formation showed that the number of parameters could be effectively lowered without a loss of profit.

Suggested Citation

  • Michael Princ, 2013. "Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries," Working Papers IES 2013/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
    • Handle: RePEc:fau:wpaper:wp2013_12
    as

    Download full text from publisher

    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/4869/lang/cs
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cristina Sacala, 2016. "Portfolio Dynamics. A Macroeconomic Model," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 170-176, July.

    More about this item

    Keywords

    dynamic modelling; portfolio selection; GMV; regional analysis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2013_12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.