Impact of portfolio strategies based on different return definitions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090956" target="_blank" >RIV/61989100:27510/14:86090956 - 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
Impact of portfolio strategies based on different return definitions
Original language description
In this paper we identify alternative definitions of return according to the preferences of different non-satiable investors: risk-averse, risk seeking, neither risk-averse and nor risk seeking. In particular, using a new estimator of the conditional expected value, we compare the wealth sample path obtained, taking into account the different investors? preferences. In addition, we examine the ex-post wealth obtained maximazing a performance measure applied to different return definitions.
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
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
582-589
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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