Value at Risk application to FSD portfolio efficiency testing

0385930 - ÚTIA 2013 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Kopa, Miloš
Value at Risk application to FSD portfolio efficiency testing.
Proceedings of Managing and Modelling of Financial Risks 2012. Ostrava: VŠB-Technická univerzita Ostrava, Ekonomická fakulta, 2012, s. 320-325. ISBN 978-80-248-2835-0.
[Managing and modeling of financial risks 2012. Ostrava (CZ), 10.09.2012-11.09.2012]
Grant CEP: GA ČR(CZ) GBP402/12/G097
Institucionální podpora: RVO:67985556
Klíčová slova: Value at Risk * first order stochastic dominance * portfolio efficiency
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf

The paper deals with efficiency testing of a given portfolio with respect to all other portfolios that can be created from the considered set of assets. The efficiency is based on the first order stochastic dominance (FSD) relation. A necessary and sufficient condition for the first order stochastic dominance criterion is expressed in terms of Value at Risks (VaRs). Consequently a FSD portfolio efficiency test based on VaRs is formulated. Contrary to the usual case, a general discrete distribution of portfolio returns is assumed what makes the test computationally more demanding comparing to the equiprobable scenarios case. Therefore we present a tractable reformulation of this test that turns constraints on VaRs into classical mixed-integer nonlinear programming problem.
Trvalý link: http://hdl.handle.net/11104/0216178