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Measuring of Second-order Stochastic Dominance Portfolio Efficiency

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    SYSNO ASEP0345195
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleMeasuring of Second-order Stochastic Dominance Portfolio Efficiency
    Author(s) Kopa, Miloš (UTIA-B) RID
    Source TitleKybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
    Roč. 46, č. 3 (2010), s. 488-500
    Number of pages13 s.
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsstochastic dominance ; stability ; SSD porfolio efficiency
    Subject RIVBB - Applied Statistics, Operational Research
    R&D ProjectsGAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z10750506 - UTIA-B (2005-2011)
    UT WOS000280425000013
    AnnotationIn 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2011
Number of the records: 1  

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