| dc.contributor.author | Belovas, Igoris | |
| dc.contributor.author | Kabašinskas, Audrius | |
| dc.contributor.author | Sakalauskas, Leonidas | |
| dc.date.accessioned | 2023-09-18T17:17:42Z | |
| dc.date.available | 2023-09-18T17:17:42Z | |
| dc.date.issued | 2009 | |
| dc.identifier.other | (BIS)KTU02-000040355 | |
| dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/121594 | |
| dc.description.abstract | 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. [...] | eng |
| dc.format.extent | p. 491-496 | |
| dc.format.medium | tekstas / txt | |
| dc.language.iso | eng | |
| dc.title | MAD approach to the management of the portfolio with stable assets | |
| dc.type | Straipsnis recenzuotame konferencijos darbų leidinyje / Paper published in peer-reviewed conference publication | |
| dcterms.references | 10 | |
| dc.type.pubtype | P1d - Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings | |
| dc.contributor.institution | Matematikos ir informatikos institutas Vilniaus Gedimino technikos universitetas | |
| dc.contributor.institution | Kauno technologijos universitetas | |
| dc.contributor.institution | Matematikos ir informatikos institutas | |
| dc.contributor.faculty | Fundamentinių mokslų fakultetas / Faculty of Fundamental Sciences | |
| dc.subject.researchfield | N 001 - Matematika / Mathematics | |
| dc.subject.researchfield | N 009 - Informatika / Computer science | |
| dc.subject.en | portfolio management | |
| dc.subject.en | mean absolute deviation (MAD) portfolio | |
| dc.subject.en | mixed-stable models | |
| dc.subject.en | Sharpe and Rachev ratios | |
| dc.subject.en | linear programming | |
| dcterms.sourcetitle | 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 | |
| dc.publisher.name | Technika | |
| dc.publisher.city | Vilnius | |
| dc.identifier.elaba | 3003144 | |
