Dynamická analýza portfolia pomocí Kalmanova filtru
The aim of the presented work is to introduce the new method of dynamic analysis of portfolio which estimates the composition of portfolio on the base of its returns. In the work, we describe the theory of Kalman filter and state space models. We mention examples of application of Kalman filter and...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | Czech |
| Published: |
2010
|
| Online Access: | http://www.nusl.cz/ntk/nusl-282043 |