About: Dimensional portfolio reduction problems with asymptotic Markov processes

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we deal how to reduce the dimensionality of the large scale portfolio selection problem under the assumption that financial returns follow homogenous Markovian chains and the underlying distributions present heavy tails. In this framework we first describe how to account the joint behavior of future wealth considering a bivariate Markov process. Secondly we suggest some techniques to reduce the large scale dimensional problem in a computationally tractable way. Finally we perform an ex-post wealth analysis to assess the profitability of a dimensional reduction tecnique. In this paper we deal how to reduce the dimensionality of the large scale portfolio selection problem under the assumption that financial returns follow homogenous Markovian chains and the underlying distributions present heavy tails. In this framework we first describe how to account the joint behavior of future wealth considering a bivariate Markov process. Secondly we suggest some techniques to reduce the large scale dimensional problem in a computationally tractable way. Finally we perform an ex-post wealth analysis to assess the profitability of a dimensional reduction tecnique. (en)
Title	Dimensional portfolio reduction problems with asymptotic Markov processes Dimensional portfolio reduction problems with asymptotic Markov processes (en)
skos:prefLabel	Dimensional portfolio reduction problems with asymptotic Markov processes Dimensional portfolio reduction problems with asymptotic Markov processes (en)
skos:notation	RIV/61989100:27510/13:86088676!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...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Ortobelli, Sergio Lozza
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	69760
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86088676
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	reduction of dimensionality; bivariate Markov process; stable Paretian distributions; portfolio selection (en)
http://linked.open.../riv/klicoveSlovo	stable Paretian distributions bivariate Markov process portfolio selection reduction of dimensionality
http://linked.open...ontrolniKodProRIV	[CE9C0938843E]
http://linked.open...v/mistoKonaniAkce	Valencie
http://linked.open...i/riv/mistoVydani	[Španělsko]
http://linked.open...i/riv/nazevZdroje	Recent advances in intelligent control, modelling and computational science : proceedings ... : Valencia, Spain, August 6-8, 2013
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...iv/tvurceVysledku	Ortobelli, Sergio Lozza Angelelli, Enrico Iaquinta, Gaetano
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-08-06 (xsd:date)
issn	2227-4588
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	WSEAS Press
https://schema.org/isbn	978-960-474-319-3
http://localhost/t...ganizacniJednotka	27510

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