| Title |
Kovariantiškumas ir kodiferencija sudarant optimalų vertybinių popierių portfelį / |
| Translation of Title |
On covariation and codifference in optimal portfolio construction. |
| Authors |
Belovas, Igoris ; Kabašinskas, Audrius ; Sakalauskas, Leonidas |
| DOI |
10.15388/Im.2008.0.3422 |
| Full Text |
|
| Is Part of |
Informacijos mokslai : mokslo darbai.. Vilnius : Vilniaus universiteto leidykla. 2007, t. 42-43, p. 182-188.. ISSN 1392-0561. eISSN 1392-1487 |
| Abstract [eng] |
Constructing an optimal portfolio it is essential to determine possible relationships between different stock returns. However, under the assumption of stability (stock returns are modelled with stable laws) accustomed relationship measures (covariance, correlation) can not be applied. Thus generalized Markowitz problem is solved with generalized relationship measures (covariation, codifference). Portfolio construction strategies with and without codifference coefficients matrix are given. We show that the codifference application strongly simplifies the construction of the optimal portfolio. Optimal stock portfolios (with 10 most realizable Baltic States stocks) with and without codifference coefficients matrix are constructed. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2007 |
| CC license |
|
