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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
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)
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
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e-ISSN
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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