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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F12%3A%230001865%21RIV13-MSM-19520___
rdf:type
skos:Concept n13:Vysledek
dcterms: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.
dcterms:title
Comparison of two different approaches to stock portfolio analysis Comparison of two different approaches to stock portfolio analysis
skos:prefLabel
Comparison of two different approaches to stock portfolio analysis Comparison of two different approaches to stock portfolio analysis
skos:notation
RIV/47813059:19520/12:#0001865!RIV13-MSM-19520___
n13:predkladatel
n14:orjk%3A19520
n3:aktivita
n5:I
n3:aktivity
I
n3:dodaniDat
n11:2013
n3:domaciTvurceVysledku
n19:8774021
n3:druhVysledku
n20:D
n3:duvernostUdaju
n10:S
n3:entitaPredkladatele
n4:predkladatel
n3:idSjednocenehoVysledku
128092
n3:idVysledku
RIV/47813059:19520/12:#0001865
n3:jazykVysledku
n17:eng
n3:klicovaSlova
stock portfolio, moment estimates, time series
n3:klicoveSlovo
n15:moment%20estimates n15:stock%20portfolio n15:time%20series
n3:kontrolniKodProRIV
[FFF8215CEA30]
n3:mistoKonaniAkce
Karviná
n3:mistoVydani
Karviná
n3:nazevZdroje
Proceedings of 30th International Conference Mathematical Methods in Economics
n3:obor
n21:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n11:2012
n3:tvurceVysledku
Tošenovský, Filip
n3:typAkce
n8:WRD
n3:zahajeniAkce
2012-01-01+01:00
s:numberOfPages
6
n18:hasPublisher
Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
n6:isbn
978-80-7248-779-0
n12:organizacniJednotka
19520