0385928 20240103201816.520130122235959.9 000313469200009 11 s. cav_un_epca*03300781212-3609154 (2012)110-120 dependency concordance portfolio selection second order stochastic dominance cav_un_auth*0254103 Kopa Miloš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics G Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0208066 Tichý T. CZ http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance-portfolio efficiency analysis.pdf GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 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. 2013 BB 2 RVO:67985556 http://hdl.handle.net/11104/0217193 ECONOMICS 7 0.325 27.17 0.56 Q2 32.545 Q3 2012 000313469200009 WOS cav_un_epca*0330078 E+M. Ekonomie a management 1212-3609 2336-5064 Roč. 15 č. 4 2012 110 120