0345195 20240903170621.420100913235959.9 000280425000013 13 s. cav_un_epca*02971630023-5954463 (2010)488-500Ústav teorie informace a automatizace AV ČR, v. v. i. stochastic dominance stability SSD porfolio efficiency cav_un_auth*0254103 Kopa Miloš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/kopa-measuring of second-order stochastic dominance portfolio efficiency.pdf GAP402/10/1610 GA ČR cav_un_auth*0263483 CEZ:AV0Z10750506 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. 2011 BB 4 O 4o 20231122134059.9 http://hdl.handle.net/11104/0186520 COMPUTERSCIENCECYBERNETICS 0.562 0.219 8.1 0.00125 0.22 463 73 21 0.323 20.57 0.48 Q2 27.15 23.684 Q3 Q2 2010 Soubory v repozitáři: 0345195.pdf 000280425000013 WOS cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 46 č. 3 2010 488 500 Ústav teorie informace a automatizace AV ČR, v. v. i.