On the impact of semidenite positive correlation measures in portfolio theory
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094709" target="_blank" >RIV/61989100:27510/15:86094709 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10479-015-1962-x" target="_blank" >http://dx.doi.org/10.1007/s10479-015-1962-x</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10479-015-1962-x" target="_blank" >10.1007/s10479-015-1962-x</a>
Alternative languages
Result language
angličtina
Original language name
On the impact of semidenite positive correlation measures in portfolio theory
Original language description
In this paper potential usage of different correlation measures in portfolio problems is studied. We characterize especially semide nite positive correlation measures consistent with the choices of risk-averse investors. Moreover, we propose a new approach to portfolio selection problem, which optimizes the correlation between the portfolio and one or two market benchmarks. We also discuss why should correlation measures be used to reduce the dimensionality of large scale portfolio problems. Finally, through an empirical analysis, we show the impact of diffrent correlation measures on portfolio selection problems and on dimensionality reduction problems. In particular, we compare the ex-post sample paths of several portfolio strategies based on different risk measures and correlation measures.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
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
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Annals of Operations Research
ISSN
0254-5330
e-ISSN
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Volume of the periodical
235
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
26
Pages from-to
625-652
UT code for WoS article
000365867100028
EID of the result in the Scopus database
2-s2.0-84948096544