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National Repository of Grey Literature 4 records found  Search took 0.00 seconds. 
The R-library Robustbase documenting the contemporary state of robust statistics
 Dungl, Martin ; Dienstbier, Jan (advisor) ; Kraus, David (referee)
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The R-library Robustbase documenting the contemporary state of robust statistics
 Dungl, Martin ; Kraus, David (referee) ; Dienstbier, Jan (advisor)
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The impact of stochastic dominance generator on a portfolio efficiency
 Dungl, Martin ; Dupačová, Jitka (referee) ; Kopa, Miloš (advisor)
This contribution focuses on the sets of efficient portfolios and their properties, given the class of utility functions. Firstly the basic concepts of stochastic dominance are recalled, then we limit our attention to the scenario approach and the concept of portfolio eeffciency is introduced. Di erent de nitions of efficient portfolios are taken into account - we call them admissibility, strict admissibility and optimality. We summarize the most important results concerning the shapes of sets composed by portfolios efficient according to the above mentioned approaches. The problem of path connectedness of the sets of optimal portfolios with limited short sales is analyzed. We prove that the set of optimal portfolios is path connected under the assumption that the generator of the stochastic dominance is a path connected set of strictly concave utility functions. Then the convexity of the set of optimal portfolios with respect to the set of exponential utility functions, in case of allowed short sales, is analyzed. We conclude that the sets of optimal portfolios generally need not be convex and we prove the necessary and sufficient condition of convexity.
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Example creation system
 Suzdaleva, Evgenia ; Nagy, Ivan ; Dungl, Martin
The technical report describes a system for creation of examples for fully probabilistic dynamic decision making. It represents a documentation for author who wishes to create examples for PhD students or to add their new developed algorithms to the system.
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