Research branch: Optimal Economic Decision Making
Working group: Portfolio Analysis
Research objectives:
- Mean-risk models
- Portfolio efficiency
- New portfolio selection problems on the set of efficient portfolios
- Algorithms and theoretical properties
Head:
- Jitka Dupačová (MFF UK), email: dupacova [at] karlin
Members:
- Martin Branda (MFF UK), email: branda [at] karlin
- Miloš Kopa (MFF UK), email: kopa [at] karlin
- Petr Lachout (MFF UK), email: lachout [at] karlin
- Petr Zemčík (CERGE UK), email: petr.zemcik [at] cerge-ei
Working group: Optimization Techniques
Research objectives:
- Stability of solutions to optimization problems and their sensitivity to changes in input data
- Non-convex optimization problems
- Methods and algorithms for the optimization problems
Head:
- Petr Lachout (MFF UK), email: lachout [at] karlin
Members:
- Martin Branda (MFF UK), email: branda [at] karlin
- Michal Černý (FIS VSE), email: cernym [at] vse
- Jitka Dupačová (MFF UK), email: dupacova [at] karlin
- Josef Jablonský (FIS VSE), email: jablon [at] vse
- Miloš Kopa (MFF UK), email: kopa [at] karlin
Research branch: Financial Econometrics and Risk Management
Working group: Analysis of Financial Time Series
Research objectives:
- Testing the stability of models and the detection of structural breaks
- New smoothness techniques suitable for financial modelling
- Special cases like weak stationary processes with non-positive correlations, bounded and clipped ARMA processes will be analysed and applied to financial data
- Errors-in-variables models
Head:
- Zuzana Prášková (MFF UK), email: praskova [at] karlin
Members:
- Josef Arlt (FIS VSE), email: arlt [at] vse
- Markéta Arltová (FIS VSE), email: arltova [at] vse
- Tomáš Cipra (MFF UK), email: cipra [at] karlin
- Šárka Hudecová (MFF UK), email: hudecova [at] karlin
- Michal Pešta (MFF UK), email: pesta [at] karlin
- Jan Ámos Víšek (FSV UK), email: visek [at] fsv
Working group: Risk Management in Finance and Insurance
Research objectives:
- Pricing of financial derivatives in incomplete markets
- How to hedge the derivative (option) in the incomplete market in the most efficient way
- Estimation of latent variables (introduce equations of the volatility processes with unknown constant parameters, study estimation methods for multivariate stochastic volatility jump-diffusion models)
- Uncertainty of model parameters
- Risk management in insurance (management of mortality and longevity risk by means of securitization applying spe- cial securities and financial derivatives, risk models used in the framework of new approaches to solvency in insurance)
Head:
- Jiří Witzany (FFU VSE), email: jiri.witzany [at] vse
Members:
- Tomáš Cipra (MFF UK), email: cipra [at] karlin
- Jiří Málek (FFU VSE), email: malek [at] vse
- Michal Pešta (MFF UK), email: pesta [at] karlin
- Pavel Vacek (FSV UK), email: vacek [at] fsv
Leading Czech research institutions participate in the Platform
the institutes of Charles University in Prague (referred to as "UK"):
- Faculty of Social Sciences ("FSV");
- Center for Economic Research and Graduate Education ("CERGE");
- Faculty of Mathematics and Physics ("MFF");
the institutes of the University of Economics, Prague ("VSE"):
- Faculty of Finance and Accounting ("FFU");
- Faculty of Computer Science and Statistics ("FIS");
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic ("UTIA AV CR").