Alternativní měřítka závislosti a malé měnové portfolio

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F08%3A00018605" target="_blank" >RIV/61989100:27510/08:00018605 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Alternative dependency measures and a small currency portfolio

Popis výsledku v původním jazyce

A standard tool to measure the dependency is the coefficient of linear correlation. Although it has several drawbacks (zero correlation is not equivalent to independency, tail dependency and even asymmetry in the dependency are ignored), it is the most popular vehicle to arrive at optimal portfolio composition or calculate the portfolio risk. In this paper, we review several alternative measures of dependency among random evolution of particular variables, such as Spearman rho, Kendall tau, Gini gamma.We also explain the concept of copula functions. Next, we select representative FX rates and examine their mutual dependency. We provide the matrices of dependency measures and the evolution (stability) in time is studied, too. Subsequently, we formulateseveral optimization tasks to find an optimal minimum risk portfolio. Alternatively, we set several portfolios with the aim to minimize the Value at Risk for a given probability level. In both issues we combine min-var criterion with alt

Název v anglickém jazyce

Alternative dependency measures and a small currency portfolio

Popis výsledku anglicky

A standard tool to measure the dependency is the coefficient of linear correlation. Although it has several drawbacks (zero correlation is not equivalent to independency, tail dependency and even asymmetry in the dependency are ignored), it is the most popular vehicle to arrive at optimal portfolio composition or calculate the portfolio risk. In this paper, we review several alternative measures of dependency among random evolution of particular variables, such as Spearman rho, Kendall tau, Gini gamma.We also explain the concept of copula functions. Next, we select representative FX rates and examine their mutual dependency. We provide the matrices of dependency measures and the evolution (stability) in time is studied, too. Subsequently, we formulateseveral optimization tasks to find an optimal minimum risk portfolio. Alternatively, we set several portfolios with the aim to minimize the Value at Risk for a given probability level. In both issues we combine min-var criterion with alt

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Aplikace komplexních Lévyho procesů při modelování vývoje cen finančních aktiv</a><br>

Návaznosti

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

Rok uplatnění

2008

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics

ISBN

978-80-7372-387-3

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

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Název nakladatele

TU Liberec

Místo vydání

Liberec

Místo konání akce

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Datum konání akce

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Typ akce podle státní příslušnosti

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Kód UT WoS článku

000260962300058