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7 179 (0,086s) •

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
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  • 3 645 tis. Kč
    • •
  • GA ČR
Project

Verification of suitability of particular Lévy models for selected issues of financial modeling (GA13-13142S)

or selection of efficient and optimal portfolio. Although in the past the GaussianCurrent issues of financial modeling are focused on a large selection portfolios, we can clearly see that at present monitoring of ...

AH - Ekonomie

  • 2013 - 2017
    • •
  • 4 461 tis. Kč
    • •
  • 4 461 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 th...

Economic Theory

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

A generalized approach to stochastic dominance theory and financial applications (GA20-16764S)

, we aim at applying the developed methodologies to portfolio selection problem....

Finance

  • 2020 - 2022
    • •
  • 4 888 tis. Kč
    • •
  • 4 888 tis. Kč
    • •
  • GA ČR
Project

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

. In this project we focus on selected advanced topics of stochastic ordering applications in finance, such as (i) Theoretical and practical aspects of portfolio diversiffication, (ii) Multidimensional risk premiums in multistage

AH - Ekonomie

  • 2017 - 2019
    • •
  • 3 990 tis. Kč
    • •
  • 3 990 tis. Kč
    • •
  • GA ČR
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 favorably wel...

AH - Ekonomie

  • 2016 - 2020
    • •
  • 2 376 tis. Kč
    • •
  • 1 653 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

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

Digital portfolio as a strategy for creating networks and work teams on the filed of research and development (EE2.3.09.0194)

and principles and work with them. -create and use tools of digital portfolio for target "work with information" and "work with digital portfolio". - Training the pilot group of University staff who will become lecturers of digital...

AM - Pedagogika a školství

  • 2009 - 2011
    • •
  • 2 405 tis. Kč
    • •
  • 2 405 tis. Kč
    • •
  • MŠMT
Project

Portfolio tracking and analytics web app for crypto markets (TG05020001)

product portfolio or pivot to different markets....

Business and management

  • 2019 - 2019
    • •
  • 1 833 tis. Kč
    • •
  • 1 008 tis. Kč
    • •
  • TA ČR
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