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5 220 (0,144s) •

Project

Portfolio management with multiple benchmarks (GA16-21216S)

This proposal suggests to study portfolio management with multiple benchmarks. Traditional portfolio optimization compares typically compares the portfolio performance, the portfolio may still perform favo...

AH - Ekonomie

  • 2016 - 2020
    • •
  • 2 376 tis. Kč
    • •
  • 1 653 tis. Kč
    • •
  • GA ČR
Project

A network approach to portfolio optimization and tracking problems (GA19-11965S)

; application of the extended graphical lasso to (optimal) portfolio selection; application of network measures and sparse quantile graphical models to index tracking and portfolio can represent assets in a portfolio

Finance

  • 2019 - 2022
    • •
  • 3 645 tis. Kč
    • •
  • 3 645 tis. Kč
    • •
  • GA ČR
Project

End-to-end learning of optimal portfolios (GA20-29260S)

process across variety of the portfolio optimization formulations. Following our portfolio optimization separately, in real benchmarks. We will address corresponding optimization task rather than accuracy...

Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

  • 2020 - 2023
    • •
  • 6 755 tis. Kč
    • •
  • 6 125 tis. Kč
    • •
  • GA ČR
Project

Maximal Entropy Portfolio (GA24-11146S)

We plan is to study portfolios that maximize the expected logarithmic return with respect to all available reference assets. As the expected log return of an asset of the state prices of the asset and the benchmark, we call this portfoli...

Finance

  • 2024 - 2026
    • •
  • 6 142 tis. Kč
    • •
  • 5 164 tis. Kč
    • •
  • GA ČR
Project

Analysis of stochastic dominance efficient portfolios (GP201/07/P107)

of a given portfolio will be analysed in order to construct a proper measure of inefficiency of the portfolio. Assuming returns with discrete probability distribution testing first order stochastic dominance of a given portfoli...

BB - Aplikovaná statistika, operační výzkum

  • 2007 - 2009
    • •
  • 600 tis. Kč
    • •
  • 600 tis. Kč
    • •
  • GA ČR
Project

Optimizing the energy portfolio to increase the use of renewable resources (TS01020123)

of the portfolio of production and consumption equipment and optimization of the operationalThe goal of this project is the development of a comprehensive Lancelot GDS (Generation Dispatch Systém) optimization tool for po...

Energy and fuels

  • 2024 - 2026
    • •
  • 15 929 tis. Kč
    • •
  • 9 456 tis. Kč
    • •
  • TA ČR
Project

Financial applications of stochastic ordering rules (GA17-19981S)

in finance, such as (i) Theoretical and practical aspects of portfolio diversiffication, (ii) Multidimensional risk premiums in multistage portfolio optimization, (iii the optimal choices, behavioral finance, ...

AH - Ekonomie

  • 2017 - 2019
    • •
  • 3 990 tis. Kč
    • •
  • 3 990 tis. Kč
    • •
  • GA ČR
Project

Utilization of Stochastic Optimization and Equilibrium Models in Portfolio Selection and Energy Finance (GA18-04145S)

Our research effort follows the current challenging problems of portfolio analysis and energy finance. In particular, we shall investigate sparse robust portfolio selection problems with non-smooth objectives and analyze the joint e...

Economic Theory

  • 2018 - 2023
    • •
  • 2 321 tis. Kč
    • •
  • 2 183 tis. Kč
    • •
  • GA ČR
Project

Efficiency and risk control in decision making (GAP402/12/0558)

The project deals with portfolio (in)efficiency with respect to stochastic dominance (SSD) portfolio efficiency (inefficiency) and first-order stochastic dominance (FSD) portfolio admissibility (inadmissibility) will be def...

BB - Aplikovaná statistika, operační výzkum

  • 2012 - 2014
    • •
  • 2 391 tis. Kč
    • •
  • 2 391 tis. Kč
    • •
  • GA ČR
Project

Methods for decision support in environment with uncertainty - applications in economics, business and engineering (ME 200)

To gain new knowledge and develop new methods in the area of uncertainty modeling, optimization and knowledge engineering by using fuzzy and/or stochastic methods with applications in economics and engineering......

BB - Aplikovaná statistika, operační výzkum

  • 1998 - 2001
    • •
  • 2 040 tis. Kč
    • •
  • 700 tis. Kč
    • •
  • MŠMT
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