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Description
| - Standardní prostředek měření závislosti náhodných veličin je koeficient lineární korelace. Přestože jsou zřejmé jeho mnohé nevýhody (nulová korelace není ekvivalentní nezávislosti, závislost těžkých konců a asymetrie v závislosti jsou ignorovány), je stále nejpopulárnějším prostředkem k sestavení optimálního (diverzifikovaného) portfolia či výpočtu jeho rizika. V tomto článku poskytujeme přehled alternativních měřítek závislosti, jako je Spearmanovo ró, Kendallovo tau či Giniho gama. Rovněž je naznačen související koncept kopula funkcí. Nasledně jsou alternatiní měřítka závislosti využita k redefinování klasických optimalizačních úloh - nalezení min-var portfolia a min-VaR portfolia. Dále je na reálných datech sledována stabilita a vzájemný vztah vybraných měřítek závislosti. (cs)
- 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 formulate several 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 alternative depende
- 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 formulate several 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 alternative depende (en)
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Title
| - Alternative dependency measures and a small currency portfolio
- Alternativní měřítka závislosti a malé měnové portfolio (cs)
- Alternative dependency measures and a small currency portfolio (en)
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skos:prefLabel
| - Alternative dependency measures and a small currency portfolio
- Alternativní měřítka závislosti a malé měnové portfolio (cs)
- Alternative dependency measures and a small currency portfolio (en)
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skos:notation
| - RIV/61989100:27510/08:00018605!RIV09-GA0-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/08:00018605
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - Dependency measure; linear correlation; rank measure; copula function; optimal portfolio (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Mathematical Methods in Economics
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...ain/vavai/riv/wos
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number of pages
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http://purl.org/ne...btex#hasPublisher
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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