Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Modern asset management for non-Gaussian distributions

2014/13/B/HS4/00176

Keywords:

asset management Black-Litterman model non-Gaussian distributions bootstraping

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Warszawski, Wydział Matematyki, Informatyki i Mechaniki

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Andrzej Palczewski 

Number of co-investigators in the project: 3

Call: OPUS 7 - announced on 2014-03-17

Amount awarded: 153 070 PLN

Project start date (Y-m-d): 2015-02-18

Project end date (Y-m-d): 2017-07-17

Project duration:: 29 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. laptop, procesor 4 rdzeniowy, 8 GB RAM, dysk 750 GB (5 000 PLN)

Information in the final report

  • Publication in academic press/journals (5)
  1. LP Algorithms for Portfolio Optimization: The PortfolioOptim Package
    Authors:
    Andrzej Palczewski
    Academic press:
    The R Journal (rok: 2018, tom: 10, strony: 308-327), Wydawca: R Foundation for Statistical Computing
    Status:
    Published
    DOI:
    brak - link to the publication
  2. Elliptical Black-Litterman portfolio optimization
    Authors:
    Andrzej Palczewski, Jan Palczewski
    Academic press:
    Quantitative Finance , Wydawca: Taylor and Francis
    Status:
    Submitted
    DOI:
    brak - link to the publication
  3. On the solution uniqueness in portfolio optimization and risk analysis
    Authors:
    Bogdan Grechuk, Andrzej Palczewski, Jan Palczewski
    Academic press:
    arXiv (rok: 2018, ), Wydawca: Cornell University Library
    Status:
    Submitted
    DOI:
    brak - link to the publication
  4. Black-Litterman model for continuous distributions
    Authors:
    Andrzej Palczewski, Jan Palczewski
    Academic press:
    SSRN Electronic Journal (rok: 2016, tom: --, strony: --), Wydawca: SSRN
    Status:
    Published
    DOI:
    10.2139/ssrn.2744621 - link to the publication
  5. Black-Litterman model for continuous distributions
    Authors:
    Andrzej Palczewski, Jan Palczewski
    Academic press:
    European Journal of Operation Reserach , Wydawca: Elsevier
    Status:
    Accepted for publication
    DOI:
    10.1016/j.ejor.2018.08.013 - link to the publication

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