Dimensional portfolio reduction problems with asymptotic Markov processes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088676" target="_blank" >RIV/61989100:27510/13:86088676 - 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
Dimensional portfolio reduction problems with asymptotic Markov processes
Original language description
In this paper we deal how to reduce the dimensionality of the large scale portfolio selection problem under the assumption that financial returns follow homogenous Markovian chains and the underlying distributions present heavy tails. In this framework we first describe how to account the joint behavior of future wealth considering a bivariate Markov process. Secondly we suggest some techniques to reduce the large scale dimensional problem in a computationally tractable way. Finally we perform an ex-post wealth analysis to assess the profitability of a dimensional reduction tecnique.
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
Recent advances in intelligent control, modelling and computational science : proceedings ... : Valencia, Spain, August 6-8, 2013
ISBN
978-960-474-319-3
ISSN
2227-4588
e-ISSN
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Number of pages
6
Pages from-to
95-100
Publisher name
WSEAS Press
Place of publication
[Španělsko]
Event location
Valencie
Event date
Aug 6, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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