Table 7 The summary of out-of-sample results for Markowitz model and semiparametric method with CVaR (\(\alpha =0.05\))
From: Stressed portfolio optimization with semiparametric method
Year | Markowitz model | Semiparametric method | ||||||
|---|---|---|---|---|---|---|---|---|
Volatility | Return | SR | CVaR | Volatility | Return | SR | CVaR | |
2016 | 0.063592 | 0.088099 | 1.275303 | 0.007930 | 0.063537 | 0.088058 | 1.275770 | 0.007917 |
2017 | 0.056439 | 0.197801 | 3.380649 | 0.006126 | 0.056394 | 0.197644 | 3.380582 | 0.006118 |
2018 | 0.088482 | 0.197047 | 2.147864 | 0.011228 | 0.088305 | 0.196891 | 2.150401 | 0.011198 |
2019 | 0.084537 | 0.201679 | 2.302884 | 0.010076 | 0.084393 | 0.201519 | 2.304930 | 0.010051 |
2020 | 0.106128 | 0.162529 | 1.465489 | 0.015263 | 0.105947 | 0.162485 | 1.467570 | 0.015229 |