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Optimal portfolio design for nonstationary market

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F99%3A00042801" target="_blank" >RIV/49777513:23520/99:00042801 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Optimal portfolio design for nonstationary market

  • Original language description

    An adaptive approach to the synthesis of the optimal portfolio is presented. The approach is based on tracking time varying parameters of the security market lines by the technique of exponential forgetting. The optimal forgetting factor of the parameterchanges minimizing the criteria is found out and used to the optimal portfolio timing, i.e. to compute the advised time horizon of keeping portfolio unchanged. The estimated parameters are used for finding returns and risk of assets. The new adaptive portfolio design, Markowitz and market model design is applied to a collection of assets and the results are compared.

  • Czech name

  • Czech description

Classification

  • Type

    C - Chapter in a specialist book

  • CEP classification

    BC - Theory and management systems

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Others

  • Publication year

    1999

  • Confidentiality

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

Data specific for result type

  • Book/collection name

    Optimal portfolio design for nonstationary market

  • ISBN

    800102055X

  • Number of pages of the result

    8

  • Pages from-to

  • Number of pages of the book

  • Publisher name

    České vysoké učení technické

  • Place of publication

    Praha

  • UT code for WoS chapter