Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10038278" target="_blank" >RIV/00216208:11320/10:10038278 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques
Original language description
We deal with real-life portfolio problem with Value at Risk, transaction costs and integer allocations where the random returns are modeled using the multivariate skewed t-distribution. The ability to generate a feasible solution of the original chance constrained problem using the sample approximations of the chance constraints directly or via sample approximation of the penalty function objective is compared.
Czech name
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Czech description
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Project
<a href="/en/project/GA201%2F08%2F0486" target="_blank" >GA201/08/0486: Statistical analysis of functional random variable and its applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Jihočeská univerzita, Ekonomická fakulta
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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