Project information
Alternative approaches to portfolio theory

Information

This project doesn't include Faculty of Education. It includes Faculty of Economics and Administration. Official project website can be found on muni.cz.

Project Identification

MUNI/A/1173/2022

Project Period

1/2023 - 12/2023

Investor / Pogramme / Project type

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

2025

Spectral risk for digital assets

LU Meng-Jou HORVÁTH Matúš WANG Xingjia HÄRDLE Wolfgang Karl

Article in Periodical

REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, year: 2025, volume: 64, edition: 2, DOI
The role of ESG factor in stock clustering based on risk-return-liquidity dimensions

STANĚK GYÖNYÖR Lucie HORVÁTH Matúš STAŠEK Daniel STACHOŇ Martin

Article in Periodical

The North American Journal of Economics and Finance, year: 2025, volume: 76, edition: January, DOI

2024

Crypto Havens During War Times? Evidence from the Russian Invasion of Ukraine

HAMPL Filip VÁGNEROVÁ LINNERTOVÁ Dagmar HORVÁTH Matúš

Article in Periodical

The North American Journal of Economics and Finance, year: 2024, volume: 71, edition: March, DOI
Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E-S-G pillars

STANĚK GYÖNYÖR Lucie HORVÁTH Matúš

Article in Periodical

Research in International Business and Finance, year: 2024, volume: 69, edition: April, DOI