Application of Bootstrap Method for Portfolio Analysis

Aneta Zglińska-Pietrzak

doi:https://doi.org/10.59139/ps.2012.03.3

Aneta Zglińska-Pietrzak Uniwersytet Łódzki Przegląd Statystyczny. Statistical Review, vol. 59, 2012, 3, pages: 246-258 Published online: 30 September 2012 DOI https://doi.org/10.59139/ps.2012.03.3

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ARTICLE

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ABSTRACT

This paper presents Markowitz’s mean-variance portfolio optymalization theory with and without bootstrap simulations. It is assumed that means and covariances of the assets returns are known and the variance with respect to a fixed expected return is minimized. It is concluded that there are significant differences between portfolios with and without bootstrap method and that the resampling data leads to asset allocations that are less risky. This methodology is applied in the Warsaw Stock Exchange.

KEYWORDS

bootstrap simulations, portfolio analysis

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