This HTML5 document contains 43 embedded RDF statements represented using HTML+Microdata notation.

The embedded RDF content will be recognized by any processor of HTML5 Microdata.

Namespace Prefixes

PrefixIRI
n6http://linked.opendata.cz/ontology/domain/vavai/riv/typAkce/
dctermshttp://purl.org/dc/terms/
n21http://localhost/temp/predkladatel/
n4http://purl.org/net/nknouf/ns/bibtex#
n16http://linked.opendata.cz/resource/domain/vavai/riv/tvurce/
n13http://linked.opendata.cz/resource/domain/vavai/projekt/
n9http://linked.opendata.cz/resource/domain/vavai/subjekt/
n8http://linked.opendata.cz/ontology/domain/vavai/
n12https://schema.org/
n20http://linked.opendata.cz/resource/domain/vavai/vysledek/RIV%2F00216208%3A11320%2F12%3A10125429%21RIV13-GA0-11320___/
shttp://schema.org/
skoshttp://www.w3.org/2004/02/skos/core#
rdfshttp://www.w3.org/2000/01/rdf-schema#
n3http://linked.opendata.cz/ontology/domain/vavai/riv/
n2http://linked.opendata.cz/resource/domain/vavai/vysledek/
rdfhttp://www.w3.org/1999/02/22-rdf-syntax-ns#
n5http://linked.opendata.cz/ontology/domain/vavai/riv/klicoveSlovo/
n11http://linked.opendata.cz/ontology/domain/vavai/riv/duvernostUdaju/
xsdhhttp://www.w3.org/2001/XMLSchema#
n23http://linked.opendata.cz/ontology/domain/vavai/riv/aktivita/
n19http://linked.opendata.cz/ontology/domain/vavai/riv/jazykVysledku/
n18http://linked.opendata.cz/ontology/domain/vavai/riv/druhVysledku/
n15http://linked.opendata.cz/ontology/domain/vavai/riv/obor/
n14http://reference.data.gov.uk/id/gregorian-year/

Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F12%3A10125429%21RIV13-GA0-11320___
rdf:type
skos:Concept n8:Vysledek
rdfs:seeAlso
http://mme2012.opf.slu.cz/proceedings/pdf/022_Dupacova.pdf
dcterms:description
Solutions of portfolio optimization problems are often influenced by model misspecifications or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager should be then carefully analyzed. We shall focus on output analysis and stress testing with respect to uncertainty or perturbations of input data for the Markowitz mean-variance model with a general polyhedral convex set of considered portfolios and we shall discuss its robust versions. Possible extensions to general mean-risk efficient portfolios will be delineated. Solutions of portfolio optimization problems are often influenced by model misspecifications or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager should be then carefully analyzed. We shall focus on output analysis and stress testing with respect to uncertainty or perturbations of input data for the Markowitz mean-variance model with a general polyhedral convex set of considered portfolios and we shall discuss its robust versions. Possible extensions to general mean-risk efficient portfolios will be delineated.
dcterms:title
Output analysis and stress testing for mean-variance efficient portfolios Output analysis and stress testing for mean-variance efficient portfolios
skos:prefLabel
Output analysis and stress testing for mean-variance efficient portfolios Output analysis and stress testing for mean-variance efficient portfolios
skos:notation
RIV/00216208:11320/12:10125429!RIV13-GA0-11320___
n8:predkladatel
n9:orjk%3A11320
n3:aktivita
n23:P
n3:aktivity
P(GBP402/12/G097)
n3:dodaniDat
n14:2013
n3:domaciTvurceVysledku
n16:8991758
n3:druhVysledku
n18:D
n3:duvernostUdaju
n11:S
n3:entitaPredkladatele
n20:predkladatel
n3:idSjednocenehoVysledku
157359
n3:idVysledku
RIV/00216208:11320/12:10125429
n3:jazykVysledku
n19:eng
n3:klicovaSlova
worst-case analysis; stress testing; stability; mean-variance efficient portfolios; Markowitz model
n3:klicoveSlovo
n5:stress%20testing n5:worst-case%20analysis n5:mean-variance%20efficient%20portfolios n5:Markowitz%20model n5:stability
n3:kontrolniKodProRIV
[AC03A64E5CF7]
n3:mistoKonaniAkce
Karviná, Czech Republic
n3:mistoVydani
Karviná, Czech Republic
n3:nazevZdroje
Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
n3:obor
n15:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n13:GBP402%2F12%2FG097
n3:rokUplatneniVysledku
n14:2012
n3:tvurceVysledku
Dupačová, Jitka
n3:typAkce
n6:WRD
n3:zahajeniAkce
2012-09-11+02:00
s:numberOfPages
6
n4:hasPublisher
Slezská univerzita v Opavě
n12:isbn
978-80-7248-779-0
n21:organizacniJednotka
11320