Počet záznamů: 1
Concordance measures and second order stochastic dominance-portfolio efficiency analysis
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SYSNO ASEP 0385928 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Concordance measures and second order stochastic dominance-portfolio efficiency analysis Tvůrce(i) Kopa, Miloš (UTIA-B) RID
Tichý, T. (CZ)Celkový počet autorů 2 Zdroj.dok. E+M. Ekonomie a management - ISSN 1212-3609
Roč. 15, č. 4 (2012), s. 110-120Poč.str. 11 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova dependency ; concordance ; portfolio selection ; second order stochastic dominance Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000313469200009 Anotace Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A crucial input factor, when the admissible or even optimal portfolio is detected, is the measure of dependency. Although there exists a wide range of dependency measures, a standard assumption is that the (joint) distribution of large portfolios is multivariate normal and that the dependency can be described well by a linear measure of correlation -- the Pearson coefficient of correlation is therefore usually utilized. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2013
Počet záznamů: 1