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Analysis of an influence of the risk measurement approach on the composition of an investment portfolio made by reduced Markowitz model
Main topics of the document: Markowitz model; influence (effect); open unit trust; portfolio making; risk measure...
Statistics and probability
- 2018 •
- D •
- Link
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D - Stať ve sborníku
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Original of modern portfolio theory optimization model
Main topics of the document: Markowitz model; portfolio theory; quadratic programming...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Portfolio optimization on the cryptocurrency market
Main topics of the document: Bitcoin; cryptocurrencies; CVaR; Markowitz model; portfolio optimization; semivariance...
Applied Economics, Econometrics
- 2018 •
- Jost •
- Link
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Jost - Ostatní články v recenzovaných periodicích
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Minimum norm solution of the Markowitz mean-variance portfolio optimization model
In finance, Markowitz' model, which is a portfolio optimization model of the extended Markowitz's model. To achieve this goal, we characterize the solution set portfolios of the given securities....
Economic Theory
- 2020 •
- D •
- Link
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Utility Function of the Portfolio Investor
Main topics of the document: investment; investor; utility function; risk aversion; Markowitz model; capital assets pricing model; portfolio......
AH - Ekonomie
- 2012 •
- D
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D - Stať ve sborníku
Adaptive parameter estimations of Markowitz model for portfolio optimization
method is a modification of traditional Markowitz model which extends the original Markowitz model and its modified approach. Obtained results will be compared to the traditional Markowitz model ...
AH - Ekonomie
- 2016 •
- D •
- Link
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Multiobjective programs and Markowitz model
The contribution deals with a "classical" portfolio selection problem in the case when an "underlying" probability measure must be approximated. A stability (w.r.t. probability measure space) and empirical estimates of (properly) efficient points set...
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Volatility Asset Pricing Model as an Alternative Approach?
Main topics of the document: efficient market hypothesis; random walk; Markowitz' mean-variance maxim; multifractal view...
AE - Řízení, správa a administrativa
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory
and then apply it to selected funds. Our aim was not to modify the Markowitz modelThe current scientific state of knowledge deals with the Markowitz MeanVariance model, which modifies various identified aspects (m...
Business and management
- 2021 •
- D •
- Link
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D - Stať ve sborníku
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The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory
and then apply it to selected funds. Our aim was not to modify the Markowitz modelThe current scientific state of knowledge deals with the Markowitz Mean-Variance model, which modifies various identified aspects (...
Finance
- 2021 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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