The performance of bank portfolio optimization
Autor(a) principal: | |
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Data de Publicação: | 2024 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/30714 |
Resumo: | Given a liability structure, the bank portfolio optimization determines an asset allocation that maximizes profit, subject to restrictions on Basel III ratios and credit, liquidity, and market risks. Bank allocation models have not been tested using historical data. Using an optimization model based on turnover constraints, we develop such tests, which document the superior performance of optimization strategies compared to heuristic rules, resulting in an average annual out-of-sample outperformance of 15.1% in terms of return on equity using our data set. This outperformance is remarkable and contrasts with the reported underperformance of several portfolio optimization methods in the case of investment management. |
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The performance of bank portfolio optimizationGiven a liability structure, the bank portfolio optimization determines an asset allocation that maximizes profit, subject to restrictions on Basel III ratios and credit, liquidity, and market risks. Bank allocation models have not been tested using historical data. Using an optimization model based on turnover constraints, we develop such tests, which document the superior performance of optimization strategies compared to heuristic rules, resulting in an average annual out-of-sample outperformance of 15.1% in terms of return on equity using our data set. This outperformance is remarkable and contrasts with the reported underperformance of several portfolio optimization methods in the case of investment management.Wiley2025-11-26T00:00:00Z2024-01-01T00:00:00Z20242024-01-31T10:21:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/30714eng0969-601610.1111/itor.13395Coelho, C.Santos, J. L.Judice, P.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-04T01:19:33Zoai:repositorio.iscte-iul.pt:10071/30714Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:08:02.021215Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The performance of bank portfolio optimization |
title |
The performance of bank portfolio optimization |
spellingShingle |
The performance of bank portfolio optimization Coelho, C. |
title_short |
The performance of bank portfolio optimization |
title_full |
The performance of bank portfolio optimization |
title_fullStr |
The performance of bank portfolio optimization |
title_full_unstemmed |
The performance of bank portfolio optimization |
title_sort |
The performance of bank portfolio optimization |
author |
Coelho, C. |
author_facet |
Coelho, C. Santos, J. L. Judice, P. |
author_role |
author |
author2 |
Santos, J. L. Judice, P. |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Coelho, C. Santos, J. L. Judice, P. |
description |
Given a liability structure, the bank portfolio optimization determines an asset allocation that maximizes profit, subject to restrictions on Basel III ratios and credit, liquidity, and market risks. Bank allocation models have not been tested using historical data. Using an optimization model based on turnover constraints, we develop such tests, which document the superior performance of optimization strategies compared to heuristic rules, resulting in an average annual out-of-sample outperformance of 15.1% in terms of return on equity using our data set. This outperformance is remarkable and contrasts with the reported underperformance of several portfolio optimization methods in the case of investment management. |
publishDate |
2024 |
dc.date.none.fl_str_mv |
2024-01-01T00:00:00Z 2024 2024-01-31T10:21:00Z 2025-11-26T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/30714 |
url |
http://hdl.handle.net/10071/30714 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0969-6016 10.1111/itor.13395 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Wiley |
publisher.none.fl_str_mv |
Wiley |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137169450729472 |