Publication detail

Mean-Variance & Mean-VaR Portfolio Selection: A Simulation Based Comparison in the Czech Crisis Environment

Author(s): PhDr. Jakub Seidler Ph.D.,
Type: IES Working Papers
Year: 2010
Number: 27
ISSN / ISBN:
Published in: IES Working Papers 27/2010
Publishing place: Prague
Keywords: portfolio optimization, investment strategy, Mean-Variance, Mean-Var
JEL codes: C52, G01, G11
Suggested Citation: Parrák, R., Seidler, J. (2010). “Mean-Variance & Mean-VaR Portfolio Selection: A Simulation Based Comparison in the Czech Crisis Environment” IES Working Paper 27/2010. IES FSV. Charles University.
Grants: GACR 403/10/1235 (2010-2014) Institutional Responses to Financial Market Failures
Abstract: This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method by the means of investment simulation, based on Czech financial market data from turbulent market periods of the year 2007 and the year 2008. We compare both strategies, basing on measurements of relative and absolute profitability of both strategies in crisis periods. The results indicate that both strategies were relatively profitable in both simulation periods. As a consequence of our results, it seems that it is worth to adhering investment decisions to outputs of optimisation algorithms of both methods. Moreover, we consider Mean-VaR strategy to be safer in turbulent times.
Downloadable: WP 2010_27_Parrak, Seidler

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