Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313436 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Banking and Financial Economics (JBFE) [ISSN:] 2353-6845 [Issue:] 13 [Year:] 2020 [Pages:] 40-50
Publisher: 
University of Warsaw, Faculty of Management, Warsaw
Abstract: 
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment's effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor's viewpoint.
Subjects: 
Bootstrap
confidence intervals
Sharpe ratio
TailVaR
stock market index
JEL: 
C13
C15
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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