Detail publikačního výsledku

Risk Measurement of Equity Markets and Private Investor Behaviour

ŠKAPA, S.

Originální název

Risk Measurement of Equity Markets and Private Investor Behaviour

Anglický název

Risk Measurement of Equity Markets and Private Investor Behaviour

Druh

Článek recenzovaný mimo WoS a Scopus

Originální abstrakt

The aim of this paper is to evaluate and determine risk profile of equities markets and conclude consequency for private investor portfolios. There is summarized broad issue of risk measuremen with a focuse on downside risk measurement principle and giving into context with expected utility theory and loss aversion theory. The suitable statistical methods (mainly robust statistical methods) have been used for estimation of selected characteristics and ratios. There is used a computer intensive method (a bootstrap method) for estimating risk characteristics for equity markets, indicators and ratios.

Anglický abstrakt

The aim of this paper is to evaluate and determine risk profile of equities markets and conclude consequency for private investor portfolios. There is summarized broad issue of risk measuremen with a focuse on downside risk measurement principle and giving into context with expected utility theory and loss aversion theory. The suitable statistical methods (mainly robust statistical methods) have been used for estimation of selected characteristics and ratios. There is used a computer intensive method (a bootstrap method) for estimating risk characteristics for equity markets, indicators and ratios.

Klíčová slova

Risk, return, equity, bootstrap, robust approach, loss aversion

Klíčová slova v angličtině

Risk, return, equity, bootstrap, robust approach, loss aversion

Autoři

ŠKAPA, S.

Rok RIV

2012

Vydáno

01.07.2011

Nakladatel

Akademické nakladatelství CERM

Místo

Brno

ISSN

1802-8527

Periodikum

Trendy ekonomiky a managementu

Svazek

V

Číslo

08

Stát

Česká republika

Strany od

85

Strany do

96

Strany počet

17

BibTex

@article{BUT89585,
  author="Stanislav {Škapa}",
  title="Risk Measurement of Equity Markets and Private Investor Behaviour",
  journal="Trendy ekonomiky a managementu",
  year="2011",
  volume="V",
  number="08",
  pages="85--96",
  issn="1802-8527"
}