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Measuring of Second-order Stochastic Dominance Portfolio Efficiency
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SYSNO ASEP 0345195 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Measuring of Second-order Stochastic Dominance Portfolio Efficiency Author(s) Kopa, Miloš (UTIA-B) RID Source Title Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 46, č. 3 (2010), s. 488-500Number of pages 13 s. Language eng - English Country CZ - Czech Republic Keywords stochastic dominance ; stability ; SSD porfolio efficiency Subject RIV BB - Applied Statistics, Operational Research R&D Projects GAP402/10/1610 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000280425000013 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2011
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