Parametric asymptotic portfolio decisions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094784" target="_blank" >RIV/61989100:27510/15:86094784 - 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
Parametric asymptotic portfolio decisions
Original language description
In this paper, we deal with portfolio selection decisions considering the asymptotic behavior of the portfolio returns. Thus, using the stable Paretian portfolio parameterization, we examine some dominance rules to determine the optimal choices of non-satiable risk averse investors. In particular, we first preselect a subclass of assets which are not dominated by the point of view of non-satiable and risk-averse investors. Secondly we optimize a multi-parametric portfolio optimization problem that takes into account the asymptotic stochastic dominance rule. Finally, we compare the ex-post wealth obtained by optimal portfolios with different levels of asymptotic skewness and stability index.
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
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics, MME 2015 : 33rd international conference : conference proceedings : Cheb, Czech Republic, September 9-11, 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
590-595
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000387898900101

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