About: Comparison of two different approaches to stock portfolio analysis

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The article presents a portfolio analysis of selected shares traded on Prague Stock Exchange, using two approaches. One approach is represented by the standard procedure which defines a portfolio on the basis of optimization of the trade-off between the first and second moments of the considered share prices, with the moments being estimated from the available data by their common sample counterparts. The second approach to the analysis is based on the estimates capturing the time dynamics of the first and second moments of the share prices that are typically generated by nonstationary processes. To capture the dynamics, time series models are used. The two procedures are compared as to which of them provides an expected portfolio return that is closer to the true return. The article presents a portfolio analysis of selected shares traded on Prague Stock Exchange, using two approaches. One approach is represented by the standard procedure which defines a portfolio on the basis of optimization of the trade-off between the first and second moments of the considered share prices, with the moments being estimated from the available data by their common sample counterparts. The second approach to the analysis is based on the estimates capturing the time dynamics of the first and second moments of the share prices that are typically generated by nonstationary processes. To capture the dynamics, time series models are used. The two procedures are compared as to which of them provides an expected portfolio return that is closer to the true return. (en)
Title	Comparison of two different approaches to stock portfolio analysis Comparison of two different approaches to stock portfolio analysis (en)
skos:prefLabel	Comparison of two different approaches to stock portfolio analysis Comparison of two different approaches to stock portfolio analysis (en)
skos:notation	RIV/47813059:19520/12:#0001865!RIV13-MSM-19520___
http://linked.open...avai/predkladatel	Obchodně podnikatelská fakulta v Karviné
http://linked.open...avai/riv/aktivita	I
http://linked.open...avai/riv/aktivity	I
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Tošenovský, Filip
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	Slezská univerzita v Opavě / Obchodně podnikatelská fakulta v Karviné
http://linked.open...dnocenehoVysledku	128092
http://linked.open...ai/riv/idVysledku	RIV/47813059:19520/12:#0001865
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stock portfolio, moment estimates, time series (en)
http://linked.open.../riv/klicoveSlovo	time series moment estimates stock portfolio
http://linked.open...ontrolniKodProRIV	[FFF8215CEA30]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Tošenovský, Filip
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2012-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	19520
is http://linked.open...avai/riv/vysledek of	Comparison of two different approaches to stock portfolio analysis

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