Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10243828" target="_blank" >RIV/61989100:27510/19:10243828 - 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

Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints

Popis výsledku v původním jazyce

The book Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints analyzes the problem of optimizing the portfolio composition according to specific management styles. In particular, three main tracking strategies can be identify: passive, enhanced indexing and active. This essay addresses these problems proposing theoretical and methodological solution to maximize investors&apos; preferences. After an introductory chapter with a rich review of the literature, Chapter 2 presents the problem of mimicing the performance of financial index considering all its components or a subset only, and it suggests a new dispersion measure of the tracking error. Chapter 3 generalizes the concept of dispersion measure reviewing the class of coherent expectation bounded risk measures for the benchmark tracking problem. Chapter 4 deals with portfolio strategies for active management and explores the portfolio optimization problem maximizing four different performance measures.

Název v anglickém jazyce

Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints

Popis výsledku anglicky

The book Benchmark Tracking Portfolio Problems with Stochastic Ordering Constraints analyzes the problem of optimizing the portfolio composition according to specific management styles. In particular, three main tracking strategies can be identify: passive, enhanced indexing and active. This essay addresses these problems proposing theoretical and methodological solution to maximize investors&apos; preferences. After an introductory chapter with a rich review of the literature, Chapter 2 presents the problem of mimicing the performance of financial index considering all its components or a subset only, and it suggests a new dispersion measure of the tracking error. Chapter 3 generalizes the concept of dispersion measure reviewing the class of coherent expectation bounded risk measures for the benchmark tracking problem. Chapter 4 deals with portfolio strategies for active management and explores the portfolio optimization problem maximizing four different performance measures.

Druh

B - Odborná kniha

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

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

Rok uplatnění

2019

Kód důvěrnosti údajů

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

ISBN

978-80-248-4364-3

Počet stran knihy

126

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Kód UT WoS knihy

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