Portfolio selection with uncertainty measures consistent with additive shifts

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094758" target="_blank" >RIV/61989100:27510/15:86094758 - 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

Portfolio selection with uncertainty measures consistent with additive shifts

Popis výsledku v původním jazyce

Assuming a non-satiable risk-averse investor, the standard approach to portfolio selection suggests discarding of all ineffi cient investment in terms of mean return and its standard deviation ratio within its fi rst step. However, in literature we can fi nd many alternative dispersion and risk measures that can help us to identify the most suitable investment opportunity. In this work two new dispersion measures, fulfi lling the condition that "more is better than less" are proposed. Moreover, their distinct characteristics are analysed and empirically compared. In particular, starting from the defi nition of dispersion measures, we discuss the property of consistency with respect to additive shifts and we examine two dispersion measures that satisfythis property. Finally, we empirically compare the proposed dispersion measures with the standard deviation and the conditional value at risk on the US stock market. Moreover, within the empirical example a so called "alarm" is incorporat

Název v anglickém jazyce

Portfolio selection with uncertainty measures consistent with additive shifts

Popis výsledku anglicky

Assuming a non-satiable risk-averse investor, the standard approach to portfolio selection suggests discarding of all ineffi cient investment in terms of mean return and its standard deviation ratio within its fi rst step. However, in literature we can fi nd many alternative dispersion and risk measures that can help us to identify the most suitable investment opportunity. In this work two new dispersion measures, fulfi lling the condition that "more is better than less" are proposed. Moreover, their distinct characteristics are analysed and empirically compared. In particular, starting from the defi nition of dispersion measures, we discuss the property of consistency with respect to additive shifts and we examine two dispersion measures that satisfythis property. Finally, we empirically compare the proposed dispersion measures with the standard deviation and the conditional value at risk on the US stock market. Moreover, within the empirical example a so called "alarm" is incorporat

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Svazek periodika

24

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

14

Strana od-do

3-16

Kód UT WoS článku

000351415700001

EID výsledku v databázi Scopus

2-s2.0-84924613525