Volume-Return portfolio selection and large scale dimensional problems with bivariate Markov chains
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088602" target="_blank" >RIV/61989100:27510/13:86088602 - isvavai.cz</a>
Result on the web
<a href="http://www.naun.org/main/NAUN/ijmmas/a082001-272.pdf" target="_blank" >http://www.naun.org/main/NAUN/ijmmas/a082001-272.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Volume-Return portfolio selection and large scale dimensional problems with bivariate Markov chains
Original language description
A portfolio selection problem is proposed under the assumption that financial returns follow homogenous Markovian chains. In this framework we describe two possible applications of bivariate Markov chains in portfolio selection problems. First, we show how to account the joint behavior of future wealth considering a bivariate Markov process and propose a technique to reduce the dimensionality of the large scale portfolio choice problem considering the heavy tails of the returns. Secondly, we describe the (volume, return) portfolio evolution with a bivariate Markov chain and we propose a volume-return portfolio strategy that accounts the investor behavior. Finally, we perform an ex-post analysis to assess the large-scale reduction technique used and theperformance of a portfolio strategy that accounts the joint volume-return Markovian behaviour.
Czech name
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Czech description
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Classification
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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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>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
INTERNATIONAL JOURNAL OF MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
ISSN
1998-0140
e-ISSN
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Volume of the periodical
7
Issue of the periodical within the volume
12
Country of publishing house
US - UNITED STATES
Number of pages
9
Pages from-to
984-992
UT code for WoS article
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EID of the result in the Scopus database
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