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Program na zimný semester 2017 14. február 2017 Pojem informácie v matematickej štatistike prof. Andrej Pázmaň 28. február 2017 Dobrakov and Kurzweil integrals: related or not? Giselle Antunes Monteiro Dobrakov integral is a Lebesgue type integral, being constructively defi ned. The Kurzweil integral, on the other hand, is a Riemann type integral. In this talk we discuss the attempts made in order to establish a connection between these two integration theories. 7. marec 2017 Krás(k)a za obzorom: teória spoločenskej voľbyprof. Pavel Brunovský 4. apríl 2017 Quasideviation means and their applications prof. Jacek Chudziak (Rzeszow) 11. apríl 2017 Optimal Granularity for Portfolio Choice Katarína Lučivjanská Many optimization-based portfolio rules fail to beat the simple 1/N rule out-of-sample because of parameter uncertainty. In this paper we suggest a grouping strategy in which we first form groups of equally weighted stocks and then optimize over the resulting groups only. In a simplified setting we show analytically how to optimize the trade-off between drawbacks from parameter uncertainty and drawbacks from deviating from the overall optimal asset allocation. We illustrate that the optimal group size depends on the volatility of the assets, on the number of observations and on how much the optimal asset allocation differs from 1/N. Out of sample back-tests confirm the validity of our grouping strategy empirically. |
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