| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0438604 |
| utime |
20240103205443.8 |
| mtime |
20150121235959.9 |
| WOS |
000350605800012 |
| title
(primary) (eng) |
Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0438603 |
| ISBN |
978-80-248-3631-7 |
| title
|
International Scientific Conference Managing and Modelling of Financial Risks |
| page_num |
97-102 |
| publisher |
| place |
Ostrava |
| name |
VŠB-Technická univerzita Ostrava |
| year |
2014 |
|
|
| keyword |
Financial efficiency |
| keyword |
data envelopment analysis |
| keyword |
margin requirements |
| keyword |
CVaR deviation |
| keyword |
short sales |
| author
(primary) |
| ARLID |
cav_un_auth*0280972 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Decision Making Theory |
| name1 |
Branda |
| name2 |
Martin |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| abstract
(eng) |
We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate of return as the output. Moreover, we allow short selling and take into account margin requirements. Our model is then employed in an empirical study where selected assets from US stock market are investigated. The sample approximation technique is used to deal with the multivariate skew-normal distribution of random returns. |
| action |
| ARLID |
cav_un_auth*0308372 |
| name |
International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./ |
| dates |
08.09.2014-09.09.2014 |
| place |
Ostrava |
| country |
CZ |
|
| RIV |
BB |
| reportyear |
2015 |
| presentation_type |
ZP |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0243059 |
| confidential |
S |
| arlyear |
2014 |
| mrcbU34 |
000350605800012 WOS |
| mrcbU63 |
cav_un_epca*0438603 International Scientific Conference Managing and Modelling of Financial Risks 978-80-248-3631-7 97 102 International Scientific Conference Managing and Modelling of Financial Risks Ostrava VŠB-Technická univerzita Ostrava 2014 |
|