Portfolio problems based on returns consistent with the investor's preferences
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86091094" target="_blank" >RIV/61989100:27510/14:86091094 - 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 problems based on returns consistent with the investor's preferences
Original language description
In this paper, we deal the portfolio selection problem by the point of view of non-satiable investors which could be: risk-averse; risk seeking; neither risk-averse nor risk seeking. In particular, we first identify different return definitions coherently with the investors preferences that use the conditional expected value between the wealth valued at different times. Secondly, we study a consistent estimator of the conditional expected value between random variables. Therefore we propose to use two alternative performance measures applied to these new return definitions consistent with different investors' preferences. Finally, we propose an empirical comparison on the U.S. stock market among the ex-post wealth obtained by optimizing static and dynamic performance measures by the point of view of different investors' typologies.
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)<br>S - Specificky vyzkum na vysokych skolach
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 Mathematical, Computational and Statistical Sciences (MCSS '14); Proceedings of the 7th International Conference on Finite Difference...: Gdansk, Poland May 15-17, 2014
ISBN
978-960-474-380-3
ISSN
2227-4588
e-ISSN
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Number of pages
8
Pages from-to
340-347
Publisher name
WSEAS Press
Place of publication
Cambridge
Event location
Gdaňsk
Event date
May 25, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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