The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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University of Warsaw
2020-10-01
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| Series: | Journal of Banking and Financial Economics |
| Subjects: | |
| Online Access: | https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=208441 |
| _version_ | 1797230065719705600 |
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| author | Jarno Klaudia Smaga Łukasz |
| author_facet | Jarno Klaudia Smaga Łukasz |
| author_sort | Jarno Klaudia |
| collection | DOAJ |
| description | This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint. |
| first_indexed | 2024-04-24T15:22:34Z |
| format | Article |
| id | doaj.art-9cf929367de3409d9f6549a4da1425c1 |
| institution | Directory Open Access Journal |
| issn | 2353-6845 |
| language | English |
| last_indexed | 2024-04-24T15:22:34Z |
| publishDate | 2020-10-01 |
| publisher | University of Warsaw |
| record_format | Article |
| series | Journal of Banking and Financial Economics |
| spelling | doaj.art-9cf929367de3409d9f6549a4da1425c12024-04-02T07:39:44ZengUniversity of WarsawJournal of Banking and Financial Economics2353-68452020-10-0120201405010.7172/2353-6845.jbfe.2020.1.3The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaRJarno Klaudia0https://orcid.org/0000-0001-9034-9246 Smaga Łukasz1https://orcid.org/0000-0002-2442-8816Poznań University of Economics and Business Adam Mickiewicz UniversityThis paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint.https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=208441bootstrapconfidence intervalssharpe ratiotailvarstock market index |
| spellingShingle | Jarno Klaudia Smaga Łukasz The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR Journal of Banking and Financial Economics bootstrap confidence intervals sharpe ratio tailvar stock market index |
| title | The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR |
| title_full | The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR |
| title_fullStr | The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR |
| title_full_unstemmed | The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR |
| title_short | The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR |
| title_sort | use of the bootstrap method for the assessment of investment effectiveness and risk the case of confidence intervals estimation for the sharpe ratio and tailvar |
| topic | bootstrap confidence intervals sharpe ratio tailvar stock market index |
| url | https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=208441 |
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