0385930 20240103201816.620130111235959.9 000317528600033 6 s. P cav_un_epca*0385929978-80-248-2835-0320-325OstravaVŠB-Technická univerzita Ostrava, Ekonomická fakulta2012 Value at Risk first order stochastic dominance portfolio efficiency 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. http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 The paper deals with efficiency testing of a given portfolio with respect to all other portfolios that can be created from the considered set of assets. The efficiency is based on the first order stochastic dominance (FSD) relation. A necessary and sufficient condition for the first order stochastic dominance criterion is expressed in terms of Value at Risks (VaRs). Consequently a FSD portfolio efficiency test based on VaRs is formulated. Contrary to the usual case, a general discrete distribution of portfolio returns is assumed what makes the test computationally more demanding comparing to the equiprobable scenarios case. Therefore we present a tractable reformulation of this test that turns constraints on VaRs into classical mixed-integer nonlinear programming problem. cav_un_auth*0287100 Managing and modeling of financial risks 2012 Ostrava 10.09.2012-11.09.2012 CZ 2013 BB 1 ZP RVO:67985556 http://hdl.handle.net/11104/0216178 2012 000317528600033 WOS cav_un_epca*0385929 Proceedings of Managing and Modelling of Financial Risks 2012 978-80-248-2835-0 320 325 Proceedings of Managing and Modelling of Financial Risks 2012 Ostrava VŠB-Technická univerzita Ostrava, Ekonomická fakulta 2012