Search results
- 1.0483753 - ÚTIA 2018 RIV CZ eng J - Journal Article
Šmíd, Martin - Kopa, Miloš
Dynamic Model of Market with Uninformed Market Maker.
Kybernetika. Roč. 53, č. 5 (2017), s. 922-958. ISSN 0023-5954
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : market maker * optimal decision * price and inventory * high frequency data * dynamic model
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://www.library.utia.cas.cz/separaty/2017/E/smid-0483753.pdf
Permanent Link: http://hdl.handle.net/11104/0279514 - 2.0483752 - ÚTIA 2018 RIV LT eng J - Journal Article
Kabašinskas, A. - Šutienė, K. - Kopa, Miloš - Valakevičius, E.
The risk-return profile of Lithuanian private pension funds.
Ekonomska Istrazivanja. Roč. 30, č. 1 (2017), s. 1611-1630. ISSN 1331-677X. E-ISSN 1848-9664
R&D Projects: GA ČR GA13-25911S
Institutional support: RVO:67985556
Keywords : Pension system reform * private pension funds * performance ratios * risk– return measuring * clustering
OECD category: Finance
Impact factor: 1.137, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kopa-0483752.pdf
Permanent Link: http://hdl.handle.net/11104/0279517 - 3.0458120 - ÚTIA 2017 RIV NL eng J - Journal Article
Branda, Martin - Kopa, Miloš
DEA models equivalent to general Nth order stochastic dominance efficiency tests.
Operations Research Letters. Roč. 44, č. 2 (2016), s. 285-289. ISSN 0167-6377. E-ISSN 1872-7468
R&D Projects: GA ČR GA13-25911S; GA ČR GA15-00735S
Grant - others:GA ČR(CZ) GA15-02938S
Institutional support: RVO:67985556
Keywords : Nth order stochastic dominance efficiency * Data envelopment analysis * Convex NSD efficiency * NSD portfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.657, year: 2016
http://library.utia.cas.cz/separaty/2016/E/branda-0458120.pdf
Permanent Link: http://hdl.handle.net/11104/0258933 - 4.0429805 - ÚTIA 2015 RIV IN eng J - Journal Article
Kopa, Miloš - Tichý, T.
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection.
The Anthropologist: international journal of contemporary and applied studies of man. Roč. 17, č. 3 (2014), s. 751-755. ISSN 0972-0073
R&D Projects: GA ČR(CZ) GA13-25911S
Institutional support: RVO:67985556
Keywords : Option Pricing * Implied Volatility * DAX Index * Local polynomial smoothing
Subject RIV: AH - Economics
Impact factor: 0.222, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kopa-0429805.pdf
Permanent Link: http://hdl.handle.net/11104/0236062 - 5.0385928 - ÚTIA 2013 RIV CZ eng J - Journal Article
Kopa, Miloš - Tichý, T.
Concordance measures and second order stochastic dominance-portfolio efficiency analysis.
E+M. Ekonomie a management. Roč. 15, č. 4 (2012), s. 110-120. ISSN 1212-3609. E-ISSN 2336-5064
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : dependency * concordance * portfolio selection * second order stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.633, year: 2012
http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance-portfolio efficiency analysis.pdf
Permanent Link: http://hdl.handle.net/11104/0217193 - 6.0376757 - ÚTIA 2013 RIV CZ eng J - Journal Article
Branda, M. - Kopa, Miloš
DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 62, č. 2 (2012), s. 106-124. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR GAP402/10/1610
Grant - others:GA ČR(CZ) GAP402/12/0558
Program: GA
Institutional research plan: CEZ:AV0Z10750506
Keywords : Data Envelopment Analysis * Risk measures * Index efficiency * Stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.340, year: 2012
http://library.utia.cas.cz/separaty/2012/E/branda-dea-risk efficiency and stochastic dominance efficiency of stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0209078 - 7.0345195 - ÚTIA 2011 RIV CZ eng J - Journal Article
Kopa, Miloš
Measuring of Second-order Stochastic Dominance Portfolio Efficiency.
Kybernetika. Roč. 46, č. 3 (2010), s. 488-500. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic dominance * stability * SSD porfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.461, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kopa-measuring of second-order stochastic dominance portfolio efficiency.pdf
Permanent Link: http://hdl.handle.net/11104/0186520File Download Size Commentary Version Access 0345195.pdf 0 172 KB Publisher’s postprint open-access