Concordance measures and second order stochastic dominance-portfolio efficiency analysis

0385928 - ÚTIA 2013 RIV CZ eng J - Journal Article
Kopa, Miloš - Tichý, T.
Concordance measures and second order stochastic dominance-portfolio efficiency analysis.
E+M. Ekonomie a management. Roč. 15, č. 4 (2012), s. 110-120. ISSN 1212-3609. E-ISSN 2336-5064
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : dependency * concordance * portfolio selection * second order stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.633, year: 2012
http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance-portfolio efficiency analysis.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0217193