About: On the impact of semidefinite positive association measures in portfolio theory

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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 is higher. 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 is higher. (en)
Title	On the impact of semidefinite positive association measures in portfolio theory On the impact of semidefinite positive association measures in portfolio theory (en)
skos:prefLabel	On the impact of semidefinite positive association measures in portfolio theory On the impact of semidefinite positive association measures in portfolio theory (en)
skos:notation	RIV/61989100:27510/10:10224664!RIV12-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	276870
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10224664
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Concordance measure, reward measure, semidefinite positive association measure, dimensionality reduction, large scale portfolio selection (en)
http://linked.open.../riv/klicoveSlovo	Concordance measure dimensionality reduction large scale portfolio selection reward measure semidefinite positive association measure
http://linked.open...ontrolniKodProRIV	[6A8755252EED]
http://linked.open...v/mistoKonaniAkce	Praha
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Proceedings of 47th EWGFM meeting
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Ortobelli, Sergio
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-10-28 (xsd:date)
number of pages	12 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-2351-5
http://localhost/t...ganizacniJednotka	27510

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