MULTISTAGE RISK PREMIUMS IN PORTFOLIO OPTIMIZATION
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10384588" target="_blank" >RIV/00216208:11320/17:10384588 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.14736/kyb-2017-6-0992" target="_blank" >https://doi.org/10.14736/kyb-2017-6-0992</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2017-6-0992" target="_blank" >10.14736/kyb-2017-6-0992</a>
Alternative languages
Result language
angličtina
Original language name
MULTISTAGE RISK PREMIUMS IN PORTFOLIO OPTIMIZATION
Original language description
This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller than a prescribed level. The problem does not assume any separability of the multiperiod utility function. The performance of the suggested models is demonstrated for several kinds of multiperiod utility functions and several formulations of the multistage risk premium constraints. In all cases, including the risk premium constraints avoids the riskier positions.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
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)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
53
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
20
Pages from-to
992-1011
UT code for WoS article
000424732300003
EID of the result in the Scopus database
2-s2.0-85040727214