| bibtype |
J -
Journal Article
|
| ARLID |
0385928 |
| utime |
20240103201816.5 |
| mtime |
20130122235959.9 |
| WOS |
000313469200009 |
| title
(primary) (eng) |
Concordance measures and second order stochastic dominance-portfolio efficiency analysis |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0330078 |
| ISSN |
1212-3609 |
| title
|
E+M. Ekonomie a management |
| volume_id |
15 |
| volume |
4 (2012) |
| page_num |
110-120 |
|
| keyword |
dependency |
| keyword |
concordance |
| keyword |
portfolio selection |
| keyword |
second order stochastic dominance |
| 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 |
| garant |
G |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0208066 |
| name1 |
Tichý |
| name2 |
T. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281000 |
|
| abstract
(eng) |
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. |
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0217193 |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-q |
7 |
| mrcbT16-s |
0.325 |
| mrcbT16-y |
27.17 |
| mrcbT16-x |
0.56 |
| mrcbT16-4 |
Q2 |
| mrcbT16-C |
32.545 |
| mrcbT16-E |
Q3 |
| arlyear |
2012 |
| mrcbU34 |
000313469200009 WOS |
| mrcbU63 |
cav_un_epca*0330078 E+M. Ekonomie a management 1212-3609 2336-5064 Roč. 15 č. 4 2012 110 120 |
|