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Comparison of two different approaches to stock portfolio analysis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230001865" target="_blank" >RIV/47813059:19520/12:#0001865 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Comparison of two different approaches to stock portfolio analysis

  • Original language description

    The article presents a portfolio analysis of selected shares traded on Prague Stock Exchange, using two approaches. One approach is represented by the standard procedure which defines a portfolio on the basis of optimization of the trade-off between thefirst and second moments of the considered share prices, with the moments being estimated from the available data by their common sample counterparts. The second approach to the analysis is based on the estimates capturing the time dynamics of the firstand second moments of the share prices that are typically generated by nonstationary processes. To capture the dynamics, time series models are used. The two procedures are compared as to which of them provides an expected portfolio return that is closerto the true return.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2012

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Proceedings of 30th International Conference Mathematical Methods in Economics

  • ISBN

    978-80-7248-779-0

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    915-920

  • Publisher name

    Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné

  • Place of publication

    Karviná

  • Event location

    Karviná

  • Event date

    Jan 1, 2012

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article