Modern asset management for non-Gaussian distributions
2014/13/B/HS4/00176
Keywords
Descriptors
- HS4_6: Rynki finansowe, bankowość, finanse przedsiębiorstw, finanse publiczne
- HS4_3: Ekonometria i metody statystyczne
Panel
HS4 – Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution
Uniwersytet Warszawski, Wydział Matematyki, Informatyki i Mechaniki
Voivodeship: mazowieckie
Principal investigator (from the host institution)
Number of co-investigators in the project: 3
Call
OPUS 7 – announced on 2014-03-17
- Amount awarded
- 153 070 PLN
- Project start date
- 2015-02-18
- Project end date
- 2017-07-17
- Project duration
- 29 months (the same as in the proposal)
- Project status
- Project settled
Equipment purchased [PL]
- laptop, procesor 4 rdzeniowy, 8 GB RAM, dysk 750 GB. Cost: 5 000 PLN
Information in the final report
Publication in academic press/journals (3)
-
LP Algorithms for Portfolio Optimization: The PortfolioOptim Package
- Authors:
- Andrzej Palczewski
- Academic press:
- The R Journal (year: 2018, volume: 10, pages: 308-327), Publisher: R Foundation for Statistical Computing
- Status:
- Published
-
Black-Litterman model for continuous distributions
- Authors:
- Andrzej Palczewski, Jan Palczewski
- Academic press:
- SSRN Electronic Journal (year: 2016, volume: --, pages: --), Publisher: SSRN
- Status:
- Published
- DOI:
- 10.2139/ssrn.2744621 – link to the publication
-
Black-Litterman model for continuous distributions
- Authors:
- Andrzej Palczewski, Jan Palczewski
- Status:
- Accepted for publication