Frantisek Stulajter

Tatra Asset Management

Senior Risk Manager

Hodžovo nám. 3

P.O.BOX 108

810 00

Slovakia

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Correct Use of Ex-Ante Tracking Error in Portfolio Management

Number of pages: 7 Posted: 22 Aug 2010
Frantisek Stulajter
Tatra Asset Management
Downloads 1,390 (12,823)

Abstract:

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ex-ante tracking error, compounded returns, risk exposures

2.

Comparison of Different Copula Assumptions and Their Application in Portfolio Construction

Ekonomická revue - Central European Review of Economic Issues, Vol. 12, 2009
Number of pages: 16 Posted: 25 Aug 2009 Last Revised: 06 Nov 2009
Frantisek Stulajter
Tatra Asset Management
Downloads 501 (54,146)

Abstract:

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Copula functions, correlation, financial modelling, CVaR, portfolio construction

3.

Multi Horizon Portfolio Insurance Model

Ekonomická revue - Central European Review of Economic Issues, Vol. 14: 245 - 256 (2011)
Number of pages: 14 Posted: 04 Nov 2010 Last Revised: 14 Feb 2013
Frantisek Stulajter
Tatra Asset Management
Downloads 154 (187,800)

Abstract:

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portfolio choice, portfolio insurance, multi investment horizons, Value at Risk