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Table 5 The summary of out-of-sample results for Markowitz model and semiparametric method with VaR (\(\alpha =0.05\))

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