Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market (CROSBI ID 239664)
Prilog u časopisu | prethodno priopćenje
Podaci o odgovornosti
Dolinar, Denis ; Zoričić, Davor ; Kožul, Antonija
engleski
Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market
The fact that cap-weighted indices provide an inefficient risk-return trade-off is well known today. Various research approaches evolved suggesting alternative to cap-weighting in an effort to come up with a more efficient market index benchmark. In this paper we aim to use such an approach and focus on the Croatian capital market. We apply statistical shrinkage method suggested by Ledoit and Wolf (2004) to estimate the covariance matrix and follow the work of Amenc et al. (2011) to obtain estimates of expected returns that rely on risk-return trade-off. Empirical findings for the proposed portfolio optimization include out-of-sample and robustness testing. This way we compare the performance of the capital-weighted benchmark to the alternative and ensure that consistency is achieved in different volatility environments. Research findings do not seem to support relevant research results for the developed markets but rather complement earlier research (Zoričić et al., 2014).
efficient benchmark ; cap-weighted indices ; risk-return trade-off ; undeveloped and illiquid markets
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Podaci o izdanju
20 (Special Conferen)
2017.
13-24
objavljeno
1331-5609
1849-1162
10.1515/zireb-2017-0002
Povezanost rada
Ekonomija