Naslov
Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Autori
Vidović, Jelena

Izvornik
American Journal of Operations Research (2160-8860) 1 (2011), 4; 236-242

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Alternative Risk Measures, Central and South-East European Emerging Markets, Portfolio, Skewness, Kurtosis

Sažetak
Aim of this paper is to characterize different risk measures in portfolio construction on seven Central and South-East European stock markets ; Slovenia, Croatia, Hungary, Poland, Chez Republic, Romania and Tur-key. Selected countries are members of EU, except Croatia and Turkey which have candidate status. Em-pirical part of this paper consists of three stages ; at first descriptive statistics on stock returns was performed, afterwards different risk measures were employed in portfolio construction and in the last part, portfolios were tested in the out-of-sample period. Results indicate presence of extreme kurtosis and skewness in stock return series. Resulting portfolios incorporate stocks with extremely high kurtosis and stocks with negative skewness. Portfolio construction based only on risk and return results in major exposure to extreme returns and unsatisfactory portfolio out-of-sample results.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA