From: Stressed portfolio optimization with semiparametric method
Year | Markowitz model | Semiparametric method | ||||||
---|---|---|---|---|---|---|---|---|
Volatility | Return | SR | VaR | Volatility | Return | SR | VaR | |
2016 | 0.063592 | 0.088099 | 1.275303 | 0.006838 | 0.063507 | 0.087992 | 1.275310 | 0.006822 |
2017 | 0.056439 | 0.197801 | 3.380649 | 0.005199 | 0.056375 | 0.197725 | 3.383128 | 0.005189 |
2018 | 0.088482 | 0.197047 | 2.147864 | 0.009467 | 0.088271 | 0.196883 | 2.151138 | 0.009436 |
2019 | 0.084537 | 0.201679 | 2.302884 | 0.008710 | 0.084367 | 0.201572 | 2.306246 | 0.008685 |
2020 | 0.106128 | 0.162529 | 1.465489 | 0.012460 | 0.105918 | 0.162289 | 1.466124 | 0.012424 |