About: On the impact of association measures within the portfolio dimensionality reduction problem

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The dependency structure of random sources plays a crucial role in portfolio theory and in several pricing and risk management problems. In this paper, we discuss the possible usage of alternative association measures in portfolio problems. Among association measures, we highlight those that are consistent with the choices of risk-averse investors and we characterise semidefinite positive association measures. Additionally, we propose new portfolio selection problems that optimise the association between the portfolio and market benchmarks and follow a dimensionality reduction problem. Finally, by carrying out an empirical analysis, we show the impact of selected association measures within the portfolio problem. This analysis proves that the proper usage of both a risk measure and an association measure can increase the portfolio performance substantially. The dependency structure of random sources plays a crucial role in portfolio theory and in several pricing and risk management problems. In this paper, we discuss the possible usage of alternative association measures in portfolio problems. Among association measures, we highlight those that are consistent with the choices of risk-averse investors and we characterise semidefinite positive association measures. Additionally, we propose new portfolio selection problems that optimise the association between the portfolio and market benchmarks and follow a dimensionality reduction problem. Finally, by carrying out an empirical analysis, we show the impact of selected association measures within the portfolio problem. This analysis proves that the proper usage of both a risk measure and an association measure can increase the portfolio performance substantially. (en)
Title	On the impact of association measures within the portfolio dimensionality reduction problem On the impact of association measures within the portfolio dimensionality reduction problem (en)
skos:prefLabel	On the impact of association measures within the portfolio dimensionality reduction problem On the impact of association measures within the portfolio dimensionality reduction problem (en)
skos:notation	RIV/61989100:27510/11:86079328!RIV12-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	4
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	218220
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079328
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Concordance measure, dimensionality reduction, large-scale portfolio selection, reward measure. (en)
http://linked.open.../riv/klicoveSlovo	Concordance measure large-scale portfolio selection reward measure. dimensionality reduction
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[6457334BFB62]
http://linked.open...i/riv/nazevZdroje	Ekonomická revue - Central European Review of Economics Issues
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	14
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Sergio, Ortobelli
issn	1212-3951
number of pages	8 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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