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Efektivní portfolia : (matematický model)

Ambrož, Luděk (contributor) - 1991

Persistent link: https://www.econbiz.de/10000835884

Ekonomická paradigmata teorie portfolia, kapitálového trhu a vlastnických vztah°u v alokačních procesech

Bureš, Jiří - 1990

Persistent link: https://www.econbiz.de/10000819228

Some multiple criteria approaches in portfolio selection models

Mlynarovič, Vladimír - In: Politická ekonomie : teorie, modelování, aplikace 43 (1995) 5, pp. 671-689

Persistent link: https://www.econbiz.de/10001191746

Application of FIGARCH and EWMA Models on Stock Indices PX and BUX

Štolc, Zdeněk - In: Acta Oeconomica Pragensia 2011 (2011) 4, pp. 25-38

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared. In this paper two models of the conditional...

Persistent link: https://www.econbiz.de/10009294290

Comparison of Volatility Models of PX Index and FTSE 100 Index

Borovička, Adam - In: Acta Oeconomica Pragensia 2011 (2011) 2, pp. 66-88

The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of special econometric volatility models which...

Persistent link: https://www.econbiz.de/10009021821

Modely oceňování kapitálových aktiv a český akciový trh

Sommer, Martin - In: Finance a úvěr 47 (1997) 5, pp. 272-287

Persistent link: https://www.econbiz.de/10001225858

VYUŽITÍ INDIKÁTORŮ P/E A P/BV PŘI SESTAVENÍ AKCIOVÉHO PORTFOLIA

Širůček, Martin - 2017

Presented paper is dealing with using selected fundamental indicators by building a stock portfolio. Analysis is focused on using P/E and P/BV indicators by building a stock portfolio from stocks listed on Prague Stock Exchange. The aim of this paper is answer on question, if stocks with lower...

Persistent link: https://www.econbiz.de/10015257004

Validita modelu CAPM na akciovém trhu USA

Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - 2014

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …

Persistent link: https://www.econbiz.de/10015246689

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...

Persistent link: https://www.econbiz.de/10005036300

Vield curve construction using government bonds in the Czech republic

Málek, Jiří; Radová, Jarmila; Štěrba, Filip - In: Politická ekonomie 2007 (2007) 6, pp. 792-808

The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do...

Persistent link: https://www.econbiz.de/10005036582