The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Jarno, Klaudia; Smaga, Łukasz

doi:10.7172/2353-6845.jbfe.2020.1.3

Cited by 2 publications

(2 citation statements)

References 16 publications

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“…There are a few strengths of calculating CI using the bootstrapping method. Firstly, bootstrapping method is use to estimate the CI of uncertainty (e.g., standard deviation) without the assumption of normality of residuals (Endo et al, 2015;Klaudia & Łukasz, 2020; L. I. Tong et al, 2016).…”

Section: Advantages and Disadvantages Of Bootstrappingmentioning

confidence: 99%

Confidence Intervals by Bootstrapping Approach: A Significance Review

Mokhtar

Yusof

Sapiri

2023

Mal. J. Fund. Appl. Sci.

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A confidence interval is an interval estimate of a parameter of a population calculated from a sample drawn from the population. Bootstrapping method, which involves producing several new data sets that are resampled from the original data in order to estimate parameter for each newly created data set, allowing an empirical distribution for the parameter to be estimated. Since certain statistics are harder to estimate, confidence intervals are rarely employed. Several statistics might necessitate multi-step formulas assuming that are impractical for calculating confidence intervals. This paper reviews research on the concept of bootstrapping and bootstrap confidence interval. The current narrative analysis was developed to answer the main research question: (1) What is the concept of the bootstrap method and bootstrap confidence interval? (2) What are the methods of bootstrapping to obtain confidence interval? This study has found general bootstrap method idea, various techniques of bootstrap methods, its advantages and disadvantages, and its limitations. There are normal interval method, percentile bootstrap method, basic method, first-order normal approximation method, bias-corrected bootstrap, accelerated bias-corrected bootstrap and bootstrap-t method. This study concludes that the advantages of using bootstrap CI is that it does not require any assumptions about the shape of distribution and universality of the approach. Bootstrapping is a computer-intensive statistical technique that relies significantly on modern high-speed digital computers to do massive computations.

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Section: Advantages and Disadvantages Of Bootstrappingmentioning

confidence: 99%

Confidence Intervals by Bootstrapping Approach: A Significance Review

Mokhtar

Yusof

Sapiri

2023

Mal. J. Fund. Appl. Sci.

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“…The author discussed to redesign service business for SMEs by using the TRIZ method of systemic innovation in order to improve the competitiveness of SMEs. Bracio Klaudia [20] used the mixed innovation method in innovation management research by selecting 93 relevant articles from web and scopus databases to study the application of their mixed innovation method and give the corresponding statistical proportions. All these articles develop and complement the systemic innovation system from various perspectives in different fields and forms and with disparate methods.…”

Section: Introductionmentioning

confidence: 99%

WIME Systematic Innovation Method based on 6WHI and Total Factor Matrix Analysis

Li,

Hou,

Zhang

et al. 2024

J. Phys.: Conf. Ser.

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The involved object of systematic innovation and management is neither a single goal nor a single meth-od. Firstly, the research object is a systematic and organic whole composed of multiple node elements with a certain degree of correlation. Secondly, the research method is multi-dimensional, comprehensive, all round and highly efficient. Innovation should break through the existing thinking framework, change the existing structure, add new components, give new energy and produce new functions. The 5W1H is a questioning approach and a problem-solving method that answers all the basic elements within a problem which are what, who, when, where, why, and how. It aims to view ideas from various perspectives and gain an in-depth understanding of a specific situation. On the basis of 5W1H analysis method, this paper puts forward the 6WHI systematic innovation management method, which increases the query words weather and if of the innovation expansion solution, increases the number of questions from 6 to 8, and expands innovative forward-looking and innovative solutions diversity, with smoother pronunciation, more exciting storm. Furthermore, a systematic innovation method based on 6WHI and total factor analysis is established, and a more general and normative model WIME method is presented. This method can be utilized as a continuous process-improvement technique in an organization. Taking the 17 letters of “if question patents” as the prefix, they are just 17 common key elements in system management and innovation. For each element mentioned above, 8 questions and answers of 6WHI are given to realize systematic management and innovation. The above two types of work are arranged according to the matrix format, and then the weighted evaluation method is introduced to evaluate the above management and innovation work, so as to give a general and standardized systematic management and innovation (WIME) method.

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The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Cited by 2 publications

References 16 publications

Confidence Intervals by Bootstrapping Approach: A Significance Review

Confidence Intervals by Bootstrapping Approach: A Significance Review

WIME Systematic Innovation Method based on 6WHI and Total Factor Matrix Analysis

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