On the impact of association measures within the portfolio dimensionality reduction problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079328" target="_blank" >RIV/61989100:27510/11:86079328 - 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
On the impact of association measures within the portfolio dimensionality reduction problem
Original language description
The dependency structure of random sources plays a crucial role in portfolio theory and in several pricing and risk management problems. In this paper, we discuss the possible usage of alternative association measures in portfolio problems. Among association measures, we highlight those that are consistent with the choices of risk-averse investors and we characterise semidefinite positive association measures. Additionally, we propose new portfolio selection problems that optimise the association between the portfolio and market benchmarks and follow a dimensionality reduction problem. Finally, by carrying out an empirical analysis, we show the impact of selected association measures within the portfolio problem. This analysis proves that the proper usage of both a risk measure and an association measure can increase the portfolio performance substantially.
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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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
Ekonomická revue - Central European Review of Economics Issues
ISSN
1212-3951
e-ISSN
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Volume of the periodical
14
Issue of the periodical within the volume
4
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
257-264
UT code for WoS article
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EID of the result in the Scopus database
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