Use this URL to cite this publication: https://hdl.handle.net/20.500.14911/121594
MAD approach to the management of the portfolio with stable assets
Publication Type (CRIS)
Straipsnis recenzuojamoje Lietuvos tarptautinės konferencijos medžiagoje / Article in peer-reviewed Lithuanian international conference proceedings (P1e)
Publication Type (eLABa)
Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings (P1d)
Author(s)
| Author | Affiliation | |
|---|---|---|
Matematikos ir informatikos institutas | ||
Kabašinskas, Audrius | Kauno technologijos universitetas | |
Sakalauskas, Leonidas | Matematikos ir informatikos institutas |
Title
MAD approach to the management of the portfolio with stable assets
Igoris Belovas, Audrius Kabašinskas, Leonidas Sakalauskas
Is part of
ASMDA - 2009 : selected papers of the 13th international conference Applied Stochactic Models and Data Analysis, June 30-July 3, 2009, Vilnius, Lithuania / Eds. L. Sakalauskas, C. Skiadas, E.K. Zavadskas
Published In
| Year | Start Page | End Page |
|---|---|---|
2009 | 491 | 496 |
Publisher
Vilnius : Technika, 2009
Extent
p. 491-496
Science / Art Area
Gamtos mokslai / Natural Sciences (N)
Field of Science / Art
Matematika / Mathematics (N001)
Informatika / Informatics (N009)
Abstract (en)
Construction of an investment portfolio is discussed in many papers, but, traditionally when there is no assumption on data series distribution, the standard deviation or variance is assumed as a risk measure. During the last few years historical data series distribution has often been analyzed and new ways of portfolio management proposed. It has been shown that financial data are stable or mixed-stable (in emerging of FOREX markets) distributed. [...].
Resource Type (COAR)
TextConference outputConference proceedingsConference paper
Language
Anglų / English (en)
Country
Lietuva / Lithuania (LT)
Owning collection
ISBN (of the container)
9789955284635
eLABa ID
3003144