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Multistage portfolio optimization with multivariate dominance constraints

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10401758" target="_blank" >RIV/00216208:11320/19:10401758 - isvavai.cz</a>

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=HYMvlUX8tI" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=HYMvlUX8tI</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s10287-018-0334-9" target="_blank" >10.1007/s10287-018-0334-9</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Multistage portfolio optimization with multivariate dominance constraints

  • Original language description

    In this article we focus on multistage portfolio optimization problem with usage of multivariate stochastic dominance constraints. The first part of the work is devoted to the theoretical background needed for establishing the optimization problem. We provide a general approach to multivariate stochastic dominance, we mainly recall basic definitions and several statements that are relevant for portfolio optimization, and describe an algorithm for detecting multivariate stochastic dominance of two random vectors with discrete distributions. The main part of the work introduces multivariate stochastic dominance constraints in multistage portfolio optimization problem. We compare obtained results with traditional model which employs univariate first order stochastic dominance constraints at each stage.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

    2019

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Computational Management Science

  • ISSN

    1619-697X

  • e-ISSN

  • Volume of the periodical

    16

  • Issue of the periodical within the volume

    1-2

  • Country of publishing house

    DE - GERMANY

  • Number of pages

    30

  • Pages from-to

    17-46

  • UT code for WoS article

    000458627300003

  • EID of the result in the Scopus database

    2-s2.0-85052490073