Efficient Asset Allocation: Application of Game Theory-Based Model for Superior Performance
نویسندگان
چکیده
In this paper, we compared the models for selecting optimal portfolio based on different risk measures to identify periods in which some of dominated over others. For decades, best known return-risk model has been Markowitz’s mean-variance model. Based criticism classical Markowitz model, a whole series and have developed, are divided into two groups: symmetrical downside measures. tools provided by game theory, presented minimax maximum loss as measure risk. Recent research shown adequacy application its dominance concerning variance certain circumstances. Theoretically, relies much smaller number assumptions that must be satisfied. empirical part analyzed real return performance, structure, correlation, stability, predictive efficiency it with other famous determine whether loss-based is more suitable use circumstances than conventional models. We portfolios created period 2000–2020 from selected sample stocks components STOXX Europe 600 index, covers 90% free market capitalization European capital market. The observed included 3 bear periods, including decline during COVID-19 crisis. Our analysis showed there was no significant difference returns depending using “buy-and-hold” strategy, but were crisis periods. results significantly higher stability criterion minimizing decline, achieved performance had shorter recovery This allowed superior at least investors pronounced aversion.
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2022
ISSN: ['2227-7072']
DOI: https://doi.org/10.3390/ijfs10010020