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  • 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. These measures are used to redefine the fundamental optimization problem in finance ? optimal portfolio selection problem. A comparative study shows us that redefining the ?covariance matrix? by means of an alternative concordance measure might increase the performance of the portfolio.
  • 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. These measures are used to redefine the fundamental optimization problem in finance ? optimal portfolio selection problem. A comparative study shows us that redefining the ?covariance matrix? by means of an alternative concordance measure might increase the performance of the portfolio. (en)
Title
  • Concordance measures and portfolio selection problem
  • Concordance measures and portfolio selection problem (en)
skos:prefLabel
  • Concordance measures and portfolio selection problem
  • Concordance measures and portfolio selection problem (en)
skos:notation
  • RIV/61989100:27510/09:00020605!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/08/1237)
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
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  • 308030
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/09:00020605
http://linked.open...riv/jazykVysledku
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  • Dependency measure; linear correlation; rank measure; optimal portfolio (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [2837FA5872B0]
http://linked.open...i/riv/nazevZdroje
  • ECON'09
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 15
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
  • Sergio, Ortobelli
issn
  • 1803-3865
number of pages
http://localhost/t...ganizacniJednotka
  • 27510
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