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Measuring of Second-order Stochastic Dominance Portfolio Efficiency

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    0345195 - ÚTIA 2011 RIV CZ eng J - Journal Article
    Kopa, Miloš
    Measuring of Second-order Stochastic Dominance Portfolio Efficiency.
    Kybernetika. Roč. 46, č. 3 (2010), s. 488-500. ISSN 0023-5954
    R&D Projects: GA ČR GAP402/10/1610
    Institutional research plan: CEZ:AV0Z10750506
    Keywords : stochastic dominance * stability * SSD porfolio efficiency
    Subject RIV: BB - Applied Statistics, Operational Research
    Impact factor: 0.461, year: 2010
    http://library.utia.cas.cz/separaty/2010/E/kopa-measuring of second-order stochastic dominance portfolio efficiency.pdf

    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.
    Permanent Link: http://hdl.handle.net/11104/0186520

     
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