All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

Timing portfolio strategies with exponential Lévy processes

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10240128" target="_blank" >RIV/61989100:27510/19:10240128 - isvavai.cz</a>

  • Result on the web

    <a href="https://link.springer.com/article/10.1007%2Fs10287-018-0332-y" target="_blank" >https://link.springer.com/article/10.1007%2Fs10287-018-0332-y</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s10287-018-0332-y" target="_blank" >10.1007/s10287-018-0332-y</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Timing portfolio strategies with exponential Lévy processes

  • Original language description

    This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric Lévy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions. (C) 2018, Springer-Verlag GmbH Germany, part of Springer Nature.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

    <a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2019

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Computational Management Science

  • ISSN

    1619-697X

  • e-ISSN

  • Volume of the periodical

    16

  • Issue of the periodical within the volume

    1-2

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    31

  • Pages from-to

    97-127

  • UT code for WoS article

    000458627300006

  • EID of the result in the Scopus database

    2-s2.0-85052521986