Output analysis and stress testing for mean-variance efficient portfolios

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125429" target="_blank" >RIV/00216208:11320/12:10125429 - isvavai.cz</a>
Result on the web
<a href="http://mme2012.opf.slu.cz/proceedings/pdf/022_Dupacova.pdf" target="_blank" >http://mme2012.opf.slu.cz/proceedings/pdf/022_Dupacova.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Output analysis and stress testing for mean-variance efficient portfolios
Original language description
Solutions of portfolio optimization problems are often influenced by model misspecifications or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager should be thencarefully analyzed. We shall focus on output analysis and stress testing with respect to uncertainty or perturbations of input data for the Markowitz mean-variance model with a general polyhedral convex set of considered portfolios and we shall discussits robust versions. Possible extensions to general mean-risk efficient portfolios will be delineated.
Czech name
—
Czech description
—

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
ISBN
978-80-7248-779-0
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
123-128
Publisher name
Silesian University in Opava
Place of publication
Karviná, Czech Republic
Event location
Karviná, Czech Republic
Event date
Sep 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)