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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
BC - Theory and management systems
OECD FORD branch
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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
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Number of pages of the book
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Publisher name
České vysoké učení technické
Place of publication
Praha
UT code for WoS chapter
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