Publication result detail

Risk Measurement of Equity Markets and Private Investor Behaviour

ŠKAPA, S.

Original Title

Risk Measurement of Equity Markets and Private Investor Behaviour

English Title

Risk Measurement of Equity Markets and Private Investor Behaviour

Type

Peer-reviewed article not indexed in WoS or Scopus

Original Abstract

The aim of this paper is to evaluate and determine risk profile of equities markets and conclude consequency for private investor portfolios. There is summarized broad issue of risk measuremen with a focuse on downside risk measurement principle and giving into context with expected utility theory and loss aversion theory. The suitable statistical methods (mainly robust statistical methods) have been used for estimation of selected characteristics and ratios. There is used a computer intensive method (a bootstrap method) for estimating risk characteristics for equity markets, indicators and ratios.

English abstract

The aim of this paper is to evaluate and determine risk profile of equities markets and conclude consequency for private investor portfolios. There is summarized broad issue of risk measuremen with a focuse on downside risk measurement principle and giving into context with expected utility theory and loss aversion theory. The suitable statistical methods (mainly robust statistical methods) have been used for estimation of selected characteristics and ratios. There is used a computer intensive method (a bootstrap method) for estimating risk characteristics for equity markets, indicators and ratios.

Keywords

Risk, return, equity, bootstrap, robust approach, loss aversion

Key words in English

Risk, return, equity, bootstrap, robust approach, loss aversion

Authors

ŠKAPA, S.

RIV year

2012

Released

01.07.2011

Publisher

Akademické nakladatelství CERM

Location

Brno

ISBN

1802-8527

Periodical

Trendy ekonomiky a managementu

Volume

V

Number

08

State

Czech Republic

Pages from

85

Pages to

96

Pages count

17

BibTex

@article{BUT89585,
  author="Stanislav {Škapa}",
  title="Risk Measurement of Equity Markets and Private Investor Behaviour",
  journal="Trendy ekonomiky a managementu",
  year="2011",
  volume="V",
  number="08",
  pages="85--96",
  issn="1802-8527"
}