Project information
Alternative approaches to portfolio theory
- Project Identification
- MUNI/A/1173/2022
- Project Period
- 1/2023 - 12/2023
- Investor / Pogramme / Project type
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Masaryk University
- Specific research - support for student projects
- MU Faculty or unit
- Faculty of Economics and Administration
Hlavným zameraním a cieľom tohto projektu bude skúmanie závislostí finančných aktív, primárne kvantilových závislostí výnosností a volatility, k čomu budú využité moderné metódy ako Expected Shortfall, Cross-Quantilogram alebo kvantilová koherencia a ich následná možná aplikácia v tvorbe portfólia ako alternatívnych metód.
Publications
Total number of publications: 4
2024
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Crypto Havens During War Times? Evidence from the Russian Invasion of Ukraine
The North American Journal of Economics and Finance, year: 2024, volume: 71, edition: March, DOI
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Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars
Research in International Business and Finance, year: 2024, volume: 69, edition: April, DOI
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Spectral risk for digital assets
REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, year: 2024, DOI
2023
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The role of ESG factor in stock clustering based on risk-return-liquidity dimensions (IN REVIEW)
Working paper, year: 2023