On the measurement of risk of some cointegrated trading strategies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31140%2F21%3A00056763" target="_blank" >RIV/61384399:31140/21:00056763 - isvavai.cz</a>
Result on the web
<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
On the measurement of risk of some cointegrated trading strategies
Original language description
Main topics of the document: asset trading; nonconvex optimization; cointegrated portfolio; stationary process; risk measure
Czech name
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Czech description
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Project
<a href="/en/project/GA19-02773S" target="_blank" >GA19-02773S: Streaming financial data and related identification and optimization problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 39th International Conference on Mathematical Methods in Economics (MME2021)
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
2
Pages from-to
60-61
Publisher name
Czech University of Life Sciences Prague
Place of publication
Praha
Event location
Praha
Event date
Sep 8, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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Result description