Portfolio risk profiling via the bootstrap: holding period analysis for small cap versus large cap stocks

Roger Bowden

No 33494, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

Abstract: Strategic modes of portfolio management commonly focus on longer period holdings returns, with a number of associated recommendations, amounting to 'riding the risk premium'. The ensuing data problems in examining such a claim can be handled by bootstrapping the available set of returns, which avoids specific distributional assumptions such as long normality. Using ordered mean difference techniques, it is shown that the holding period should be considered in conjunction with risk preferences. Depending upon the latter, small cap stocks can be either beneficial or detrimental relative to a large cap benchmark.

Keywords: Bootstrapping; Holding period returns; Ordered mean difference; Risk profiling; Small cap; Strategic portfolios (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:33494

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