Title
Financial applications of stochastic ordering rules
Code
GA17-19981S
Summary
Stochastic orderings are, in general, relations between two random variables. In this project we focus on selected advanced topics of stochastic ordering applications in finance, such as (i) Theoretical and practical aspects of portfolio diversiffication, (ii) Multidimensional risk premiums in multistage portfolio optimization, (iii) Pension fund ALM models with stochastic dominance constraints and put options, (iv) Optimal choices consistent with behavioral finance orderings. Consequently, we aim on investigation, developing of new methods and empirical testing of relationships among the optimal choices, behavioral finance, portfolio diversification, risk premium at one side and stochastic ordering at the other side, including decision-making in multistage environment. Project results will be published in high-level per-reviewed journals.
Start year
2017
End year
2019
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Standardní projekty
Solver
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