On the impact of semidefinite positive association measures in portfolio theory

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10224664" target="_blank" >RIV/61989100:27510/10:10224664 - 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

On the impact of semidefinite positive association measures in portfolio theory

Popis výsledku v původním jazyce

This paper discusses the use of different association measures in portfolio problems. Among the association measures we highlight those that are consistent with the choices of risk-averse investors and we characterize semidefinite positive association measures. Additionally, we propose new portfolio selection problems that optimize the association between the portfolio and one or two market benchmarks. Then, we discuss when and how association measures can be used to reduce the dimensionality of portfolio problems. Finally, through an empirical analysis, we show the impact of different association measures in portfolio selection problems and in portfolio reduction problems. In particular, we compare the ex-post sample paths of several portfolio strategies based on different risk measures and association measures. This analysis proves that, although the proper usage of both a risk measure and an association measure can increase the performance of the portfolio, the impact of the latter

Název v anglickém jazyce

On the impact of semidefinite positive association measures in portfolio theory

Popis výsledku anglicky

This paper discusses the use of different association measures in portfolio problems. Among the association measures we highlight those that are consistent with the choices of risk-averse investors and we characterize semidefinite positive association measures. Additionally, we propose new portfolio selection problems that optimize the association between the portfolio and one or two market benchmarks. Then, we discuss when and how association measures can be used to reduce the dimensionality of portfolio problems. Finally, through an empirical analysis, we show the impact of different association measures in portfolio selection problems and in portfolio reduction problems. In particular, we compare the ex-post sample paths of several portfolio strategies based on different risk measures and association measures. This analysis proves that, although the proper usage of both a risk measure and an association measure can increase the performance of the portfolio, the impact of the latter

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 47th EWGFM meeting

ISBN

978-80-248-2351-5

ISSN

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e-ISSN

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Počet stran výsledku

12

Strana od-do

119-130

Název nakladatele

Vysoká škola báňská - Technická univerzita Ostrava

Místo vydání

Ostrava

Místo konání akce

Praha

Datum konání akce

28. 10. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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