About: An asymptotic Markovian approach to the portfolio selection problem

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions. In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions. (en)
Title	An asymptotic Markovian approach to the portfolio selection problem An asymptotic Markovian approach to the portfolio selection problem (en)
skos:prefLabel	An asymptotic Markovian approach to the portfolio selection problem An asymptotic Markovian approach to the portfolio selection problem (en)
skos:notation	RIV/61989100:27510/13:86088587!RIV14-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	11
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Ortobelli, Sergio Lozza
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	60316
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86088587
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	market stochastic bounds; Markov chain; stable Paretian distributions; dynamic portfolio selection (en)
http://linked.open.../riv/klicoveSlovo	stable Paretian distributions dynamic portfolio selection market stochastic bounds Markov chain
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[14FC5CBD47C3]
http://linked.open...i/riv/nazevZdroje	INTERNATIONAL JOURNAL OF MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	7
http://linked.open...iv/tvurceVysledku	Ortobelli, Sergio Lozza Angelelli, Enrico Iaquinta, Gaetano
issn	1998-0140
number of pages	9 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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