MULTISTAGE RISK PREMIUMS IN PORTFOLIO OPTIMIZATION

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10384588" target="_blank" >RIV/00216208:11320/17:10384588 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.14736/kyb-2017-6-0992" target="_blank" >https://doi.org/10.14736/kyb-2017-6-0992</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2017-6-0992" target="_blank" >10.14736/kyb-2017-6-0992</a>

Jazyk výsledku

angličtina

Název v původním jazyce

MULTISTAGE RISK PREMIUMS IN PORTFOLIO OPTIMIZATION

Popis výsledku v původním jazyce

This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller than a prescribed level. The problem does not assume any separability of the multiperiod utility function. The performance of the suggested models is demonstrated for several kinds of multiperiod utility functions and several formulations of the multistage risk premium constraints. In all cases, including the risk premium constraints avoids the riskier positions.

Název v anglickém jazyce

MULTISTAGE RISK PREMIUMS IN PORTFOLIO OPTIMIZATION

Popis výsledku anglicky

This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller than a prescribed level. The problem does not assume any separability of the multiperiod utility function. The performance of the suggested models is demonstrated for several kinds of multiperiod utility functions and several formulations of the multistage risk premium constraints. In all cases, including the risk premium constraints avoids the riskier positions.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Kybernetika

ISSN

0023-5954

e-ISSN

—

Svazek periodika

53

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

20

Strana od-do

992-1011

Kód UT WoS článku

000424732300003

EID výsledku v databázi Scopus

2-s2.0-85040727214