Počet záznamů: 1
Measuring of Second-order Stochastic Dominance Portfolio Efficiency
- 1.
SYSNO ASEP 0345195 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Measuring of Second-order Stochastic Dominance Portfolio Efficiency Tvůrce(i) Kopa, Miloš (UTIA-B) RID Zdroj.dok. Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 46, č. 3 (2010), s. 488-500Poč.str. 13 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova stochastic dominance ; stability ; SSD porfolio efficiency Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEP GAP402/10/1610 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000280425000013 Anotace In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a $/delta$-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and $/delta$-SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new SSD and $/delta$-SSD portfolio efficiency measures as measures of the stability. We derive a non-linear and mixed-integer non-linear programs for evaluating these measures. Contrary to all existing SSD portfolio inefficiency measures, these new measures allow us to compare any two $/delta$-SSD efficient or SSD efficient portfolios. Finally, using historical US stock market data, we compute $/delta$-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1