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  • In this paper, we analyse different methodologies to address with the portfolio selection problem. In this context, the impact of distributional hypothesis represents a cornerstone widely developed in the literature during the last years. We present five different models based on historical observations and copula function simulations with the aim to describe the behaviour of the asset returns. Moreover, we evaluate the impact in the portfolio selection considering two different investor’s preferences. An empirical application based on the components of the Dow Jones stock index is proposed during the period 2003-2013.
  • In this paper, we analyse different methodologies to address with the portfolio selection problem. In this context, the impact of distributional hypothesis represents a cornerstone widely developed in the literature during the last years. We present five different models based on historical observations and copula function simulations with the aim to describe the behaviour of the asset returns. Moreover, we evaluate the impact in the portfolio selection considering two different investor’s preferences. An empirical application based on the components of the Dow Jones stock index is proposed during the period 2003-2013. (en)
Title
  • Portfolio analysis with copula functions
  • Portfolio analysis with copula functions (en)
skos:prefLabel
  • Portfolio analysis with copula functions
  • Portfolio analysis with copula functions (en)
skos:notation
  • RIV/61989100:27510/14:86090209!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(EE2.3.30.0016), P(GP13-18300P)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 37665
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/14:86090209
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • enhanced indexation; portfolio selection; copula function; simulation method (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [11B9F13DFCF2]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kresta, Aleš
  • Cassader, Marco
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-3631-7
http://localhost/t...ganizacniJednotka
  • 27510
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