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Publication detail
ŠKAPA, S.
Original Title
Risk Metrics of Equity Indexes and Investors Worries
Type
conference paper
Language
English
Original Abstract
The cornerstone of the modern theory of decision making under risk is expected utility maximization. The expected utility maximization is an inherent part of the classical portfolio optimalization approach where the standard deviation metrics represents a value of risk in this methodTherefore in this article is suggested method for analyzing risk of equity indexes mostly with the focuse on private investor's worries behavior.
Keywords
expected utility theory; risk; return; equity; semideviation; Sortino ratio; bootstrap
Authors
Released
29. 5. 2015
ISBN
978-80-214-5227-5
Book
PERSPECTIVES OF BUSINESS AND ENTREPRENEURSHIP DEVELOPMENT: ECONOMIC, MANAGEMENT, FINANCE AND SYSTEM ENGINEERING FROM THE ACADEMIC AND PRACTITIONERS VIEWS
Pages from
415
Pages to
421
Pages count
7
BibTex
@inproceedings{BUT150331, author="Stanislav {Škapa}", title="Risk Metrics of Equity Indexes and Investors Worries", booktitle="PERSPECTIVES OF BUSINESS AND ENTREPRENEURSHIP DEVELOPMENT: ECONOMIC, MANAGEMENT, FINANCE AND SYSTEM ENGINEERING FROM THE ACADEMIC AND PRACTITIONERS VIEWS", year="2015", pages="415--421", isbn="978-80-214-5227-5" }