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Portfolio performance: An active approach to weighting assets in the portfolio versus naive diversification
Title Portfolio performance: An active approach to weighting assets in the portfolio versus naive diversification Author info Tomáš Virdzek, Peter Kubaška, Petra Cisková Author Virdzek Tomáš 1982- (50%) UMBEF16 - Výskumné a inovačné centrum
Co-authors Kubaška Peter 1992- (30%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Cisková Petra 1994- (20%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Source document Application of mathematics and statistics in economics 2018 : conference proceedings : full text papers. CD-ROM, pp. 333-347. - Praha : Vysoká škola ekonomická v Praze, 2018 / Bašta Milan ; Biernacki Marek ; 1984- Boďa Martin ; Čabla Adam ; Dębicka Joanna ; 1976- Grausová Mária ; 1988- Hudec Samuel ; 1985- Huňady Ján ; 1967- Izáková Katarína ; 1965- Kanderová Mária ; 1983- Kollár Igor ; 1978- Kráľ Pavol ; 1975- Laco Peter ; 1971- Medveďová Petra ; 1991- Mešťan Michal ; 1964- Rigová Zuzana ; 1962- Špirková Jana ; 1981- Stachová Mária ; 1943- Zimka Rudolf ; 1964- Zimková Emília ; Applications of Mathematics and Statistics in Economics 2018 (AMSE) medzinárodná vedecká konferencia Keywords weight of assets in investment portfotio benchmarking aktívna diverzifikácia - active diversification naivná diverzifikácia - naive diversification Form. Descr. príspevky v zborníku - proceedings papers Language English Country Czech Republic systematics 33 Annotation Modern portfolio theory represents the approach to constructing an optimal portfolio based on the weighting of individual assets in the portfolio. We can call this approach as an active, because the investor assigns higher weights to the assets that are able to achieve higher performance on the basis of past performance. In addition to the active investment approach, we also know the passive investment approach, through which the investor seeks to evenly distribute capital among other assets (naive diversification). The aim of this paper is to evaluate the performance of the active approach to weighting in the portfolio versus naive diversification. For the purpose of this work, we divide the data sample into two parts. The first part will serve to determine weights in the portfolio (training set) and in the second part we will test the performance of this portfolio versus the approach of naive diversification (testing set). Public work category AFC No. of Archival Copy 44201 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ 
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