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
—