期刊名称:Zagreb International Review of Economics and Business
印刷版ISSN:1331-5609
出版年度:2017
卷号:20
期号:SCI
页码:13-23
DOI:10.1515/zireb-2017-0002
语种:English
出版社:Ekonomski fakultet Sveučilišta u Zagrebu
摘要: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).
关键词:efficient benchmark; cap-weighted indices; risk-return trade-off; undeveloped and illiquid markets