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...

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Main Authors: Jarno Klaudia, Smaga Łukasz
Format: Article
Language:English
Published: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego 2020-10-01
Series:Journal of Banking and Financial Economics
Subjects:
Online Access:https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=208441
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spelling doaj-9cf929367de3409d9f6549a4da1425c12021-07-21T11:28:35ZengWydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu WarszawskiegoJournal 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
collection DOAJ
language English
format Article
sources DOAJ
author Jarno Klaudia
Smaga Łukasz
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
author_facet Jarno Klaudia
Smaga Łukasz
author_sort Jarno Klaudia
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_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_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_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
publisher Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
series Journal of Banking and Financial Economics
issn 2353-6845
publishDate 2020-10-01
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.
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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