Concordance measures and portfolio selection problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020605" target="_blank" >RIV/61989100:27510/09:00020605 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Concordance measures and portfolio selection problem
Original language description
A standard tool to measure the dependency is the coefficient of linear correlation. Although it has several drawbacks (zero correlation is not equivalent to independency, tail dependency and even asymmetry in the dependency are ignored), it is the most popular vehicle to arrive at optimal portfolio composition or calculate the portfolio risk. In this paper, we review several alternative measures of dependency among random evolution of particular variables, such as Spearman rho, Kendall tau, Gini gamma.These measures are used to redefine the fundamental optimization problem in finance ? optimal portfolio selection problem. A comparative study shows us that redefining the ?covariance matrix? by means of an alternative concordance measure might increasethe performance of the portfolio.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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