Omega-optimized portfolios: applying stochastic dominance criterion for the selection of the threshold return
| dc.contributor.author | Vilkancas, Renaldas | |
| dc.coverage.issue | 25 | cs |
| dc.coverage.volume | X | cs |
| dc.date.accessioned | 2016-09-07T08:03:54Z | |
| dc.date.available | 2016-09-07T08:03:54Z | |
| dc.date.issued | 2016-06 | cs |
| dc.description.abstract | While using asymmetric risk-return measures an important role is played by selection of the investor's required or threshold rate of return. The scientific literature usually states that every investor should define this rate according to their degree of risk aversion. In this paper, it is attempted to look at the problem from a different perspective - empirical research is aimed at determining the impact of the threshold rate of return on the investment portfolio. | en |
| dc.format | text | cs |
| dc.format.extent | 56-67 | cs |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | Trendy ekonomiky a managementu. 2016, X, č. 25, s. 56-67. ISSN 1802-8527. | cs |
| dc.identifier.doi | 10.13164/trends.2016.25.56 | cs |
| dc.identifier.issn | 1802-8527 | |
| dc.identifier.uri | http://hdl.handle.net/11012/63169 | |
| dc.language.iso | en | cs |
| dc.publisher | Vysoké učení technické v Brně, Fakulta podnikatelská | cs |
| dc.relation.ispartof | Trendy ekonomiky a managementu | cs |
| dc.relation.uri | https://trends.fbm.vutbr.cz/index.php/trends/article/view/339/299 | cs |
| dc.rights | © Vysoké učení technické v Brně, Fakulta podnikatelská | cs |
| dc.rights.access | openAccess | en |
| dc.subject | Omega function | en |
| dc.subject | portfolio optimization | en |
| dc.subject | threshold return | en |
| dc.subject | stochastic dominance | en |
| dc.subject | differential evolution | en |
| dc.title | Omega-optimized portfolios: applying stochastic dominance criterion for the selection of the threshold return | en |
| dc.type.driver | article | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
| eprints.affiliatedInstitution.faculty | Fakulta podnikatelská | cs |
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