An empirical investigation on Omega optimised stock portfolio
This paper considers portfolio optimisation with respect to the Omega function, proposed by Keating & Shadwick, and investigates its empirical performance compared with the traditional approaches for portfolio optimisation. The results were inline with expectations: omegaoptimis...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2014-03-01
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| Series: | Business: Theory and Practice |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8406 |
| _version_ | 1827361867288281088 |
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| author | Renaldas Vilkancas |
| author_facet | Renaldas Vilkancas |
| author_sort | Renaldas Vilkancas |
| collection | DOAJ |
| description | This paper considers portfolio optimisation with respect to the Omega function, proposed by Keating & Shadwick, and investigates its empirical performance compared with the traditional approaches for portfolio optimisation. The results were inline with expectations: omegaoptimised portfolio surpassed the performance of equally weighted portfolio and meanvariance portfolios based on sample estimates and was inferior only to, or equalled portfolios based on regularised estimates of the covariance matrix. In addition, it can be stated that optimisation of the Omega function was based on historical returns used as “scenarios”, so it can be reasonably expected to receive better results by using inputs or scenarios obtained by more sophisticated methods.
Omega atžvilgiu optimizuoto akcijų portfolio empiriniai tyrimai
Santrauka
Straipsnyje nagrinėjamas portfelio optimizavimas omega funkcijos, pasiūlytos Keating ir Shadwick, atžvilgiu naudojant empirinius duomenis ir lyginant gautus rezultatus su rezultatais, gautais taikant tradicinius portfelio optimizavimo metodus. Gauti rezultatai iš esmės atitiko lūkesčius – omega atžvilgiu optimizuotas portfelis pralenkė vienodų svorių bei vidurkių ir dispersijos atžvilgiu optimizuotus portfelius, kai šių portfelių optimizavimas buvo grindžiamas įprastais imties įverčiais ir atsiliko ar prilygo portfeliams, sudarytiems remiantis suderintais kovariacinės matricos įverčiais. Be to, pažymėtina, kad, optimizuojant omega funkciją, naudotas pats paprasčiausias „istorinis“ scenarijus, todėl galima pagrįstai tikėtis, kad, naudojant sudėtingesnius scenarijų sudarymo algoritmus, galima gauti geresnių rezultatų.
Reikšminiai žodžiai: portfelio optimizavimas, omega funkcija. |
| first_indexed | 2024-03-08T07:13:42Z |
| format | Article |
| id | doaj.art-974826073b4243139da817e7f2ee44d2 |
| institution | Directory Open Access Journal |
| issn | 1648-0627 1822-4202 |
| language | English |
| last_indexed | 2024-03-08T07:13:42Z |
| publishDate | 2014-03-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Business: Theory and Practice |
| spelling | doaj.art-974826073b4243139da817e7f2ee44d22024-02-03T01:44:01ZengVilnius Gediminas Technical UniversityBusiness: Theory and Practice1648-06271822-42022014-03-0115110.3846/btp.2014.06An empirical investigation on Omega optimised stock portfolioRenaldas Vilkancas0Vilnius Gediminas Technical University, Saulėtekio al. 11, LT-10223 Vilnius, LithuaniaThis paper considers portfolio optimisation with respect to the Omega function, proposed by Keating & Shadwick, and investigates its empirical performance compared with the traditional approaches for portfolio optimisation. The results were inline with expectations: omegaoptimised portfolio surpassed the performance of equally weighted portfolio and meanvariance portfolios based on sample estimates and was inferior only to, or equalled portfolios based on regularised estimates of the covariance matrix. In addition, it can be stated that optimisation of the Omega function was based on historical returns used as “scenarios”, so it can be reasonably expected to receive better results by using inputs or scenarios obtained by more sophisticated methods. Omega atžvilgiu optimizuoto akcijų portfolio empiriniai tyrimai Santrauka Straipsnyje nagrinėjamas portfelio optimizavimas omega funkcijos, pasiūlytos Keating ir Shadwick, atžvilgiu naudojant empirinius duomenis ir lyginant gautus rezultatus su rezultatais, gautais taikant tradicinius portfelio optimizavimo metodus. Gauti rezultatai iš esmės atitiko lūkesčius – omega atžvilgiu optimizuotas portfelis pralenkė vienodų svorių bei vidurkių ir dispersijos atžvilgiu optimizuotus portfelius, kai šių portfelių optimizavimas buvo grindžiamas įprastais imties įverčiais ir atsiliko ar prilygo portfeliams, sudarytiems remiantis suderintais kovariacinės matricos įverčiais. Be to, pažymėtina, kad, optimizuojant omega funkciją, naudotas pats paprasčiausias „istorinis“ scenarijus, todėl galima pagrįstai tikėtis, kad, naudojant sudėtingesnius scenarijų sudarymo algoritmus, galima gauti geresnių rezultatų. Reikšminiai žodžiai: portfelio optimizavimas, omega funkcija.https://journals.vgtu.lt/index.php/BTP/article/view/8406portfelio optimizavimasomega funkcija |
| spellingShingle | Renaldas Vilkancas An empirical investigation on Omega optimised stock portfolio Business: Theory and Practice portfelio optimizavimas omega funkcija |
| title | An empirical investigation on Omega optimised stock portfolio |
| title_full | An empirical investigation on Omega optimised stock portfolio |
| title_fullStr | An empirical investigation on Omega optimised stock portfolio |
| title_full_unstemmed | An empirical investigation on Omega optimised stock portfolio |
| title_short | An empirical investigation on Omega optimised stock portfolio |
| title_sort | empirical investigation on omega optimised stock portfolio |
| topic | portfelio optimizavimas omega funkcija |
| url | https://journals.vgtu.lt/index.php/BTP/article/view/8406 |
| work_keys_str_mv | AT renaldasvilkancas anempiricalinvestigationonomegaoptimisedstockportfolio AT renaldasvilkancas empiricalinvestigationonomegaoptimisedstockportfolio |