| bibtype |
J -
Journal Article
|
| ARLID |
0345195 |
| utime |
20240903170621.4 |
| mtime |
20100913235959.9 |
| WOS |
000280425000013 |
| title
(primary) (eng) |
Measuring of Second-order Stochastic Dominance Portfolio Efficiency |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0297163 |
| ISSN |
0023-5954 |
| title
|
Kybernetika |
| volume_id |
46 |
| volume |
3 (2010) |
| page_num |
488-500 |
| publisher |
| name |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
|
| keyword |
stochastic dominance |
| keyword |
stability |
| keyword |
SSD porfolio efficiency |
| author
(primary) |
| ARLID |
cav_un_auth*0254103 |
| name1 |
Kopa |
| name2 |
Miloš |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2011 |
| RIV |
BB |
| mrcbC52 |
4 O 4o 20231122134059.9 |
| permalink |
http://hdl.handle.net/11104/0186520 |
| mrcbT16-e |
COMPUTERSCIENCECYBERNETICS |
| mrcbT16-f |
0.562 |
| mrcbT16-g |
0.219 |
| mrcbT16-h |
8.1 |
| mrcbT16-i |
0.00125 |
| mrcbT16-j |
0.22 |
| mrcbT16-k |
463 |
| mrcbT16-l |
73 |
| mrcbT16-q |
21 |
| mrcbT16-s |
0.323 |
| mrcbT16-y |
20.57 |
| mrcbT16-x |
0.48 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
27.15 |
| mrcbT16-C |
23.684 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2010 |
| mrcbTft |
\nSoubory v repozitáři: 0345195.pdf |
| mrcbU34 |
000280425000013 WOS |
| mrcbU63 |
cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 46 č. 3 2010 488 500 Ústav teorie informace a automatizace AV ČR, v. v. i. |
|