On the use of dispersion measures consistent with additive shifts.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090775" target="_blank" >RIV/61989100:27510/14:86090775 - 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
On the use of dispersion measures consistent with additive shifts.
Original language description
In financial literature we can find many alternative dispersion and risk measures that can help us to identify a proper investments. However, only few dispersion measures are consistent with additive shifts. In this work we propose to study the class ofdispersion measures that consider that "more is better than less" and we analyze and empirically compare their different char-acteristics. In particular, we discuss the property of consistency with respect to additive shifts and we examine a class of dispersion measures that satisfy this property. Finally, we examine the use of some of these dispersion measures in financial problems with particular attention to the portfolio selection problem.
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
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
727-731
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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