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Portfolio optimization assuming different EU stock markets

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86089733" target="_blank" >RIV/61989100:27510/14:86089733 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Portfolio optimization assuming different EU stock markets

  • Original language description

    In this paper, we analyze the development of the European stock markets during the last decade. Considering different datasets of stock market indexes, we discuss the effects in terms of a classical risk-return efficient frontier that the European Unionenlargement has produced in the portfolio selection of the financial market. Moreover, we propose a methodology to deal with the portfolio selection problem addressing two investor?s risk profiles. In the methodology the copula approach and scenario simulations allow us to manage different distributional hypothesis and to discuss the results of an ex-post empirical analysis. By this methodology we study the possibilities of investors? wealth maximization in terms of investments into EU stock market indexes.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

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)

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 2nd International Conference on European Integration 2014 - ICEI 2014 : May 15-16, 2014, Ostrava, Czech Republic

  • ISBN

    978-80-248-3388-0

  • ISSN

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    382-389

  • Publisher name

    VŠB-Technical University of Ostrava

  • Place of publication

    Ostrava

  • Event location

    Ostrava

  • Event date

    May 15, 2014

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000346144900042