Portfolio choice: a non parametric Markovian framework

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088673" target="_blank" >RIV/61989100:27510/13:86088673 - 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
Portfolio choice: a non parametric Markovian framework
Original language description
In this paper we argue the large scale dynamic portfolio selection problem when the returns follow a Markov process with heavy tailed distributions. First, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process and present heavy tailed distributions. Then, we examine the profitability of some reward-risk strategies applied to large scale portfolio problems. In particular, we compare the ex-post sample paths of the wealth obtained implementing some large scale dynamic portfolio strategies.
Czech name
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Czech description
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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

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical applications in science and mechanics : proceedings ... : Dubrovnik, Croatia, June 25-27, 2013
ISBN
978-960-474-305-6
ISSN
2227-4588
e-ISSN
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Number of pages
6
Pages from-to
237-242
Publisher name
WSEAS Press
Place of publication
[Chorvatsko]
Event location
Dubrovník
Event date
Jun 25, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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