| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0385930 |
| utime |
20240103201816.6 |
| mtime |
20130111235959.9 |
| WOS |
000317528600033 |
| title
(primary) (eng) |
Value at Risk application to FSD portfolio efficiency testing |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0385929 |
| ISBN |
978-80-248-2835-0 |
| title
|
Proceedings of Managing and Modelling of Financial Risks 2012 |
| page_num |
320-325 |
| publisher |
| place |
Ostrava |
| name |
VŠB-Technická univerzita Ostrava, Ekonomická fakulta |
| year |
2012 |
|
|
| keyword |
Value at Risk |
| keyword |
first order stochastic dominance |
| keyword |
portfolio 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 |
| garant |
G |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281000 |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0287100 |
| name |
Managing and modeling of financial risks 2012 |
| place |
Ostrava |
| dates |
10.09.2012-11.09.2012 |
| country |
CZ |
|
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
ZP |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0216178 |
| arlyear |
2012 |
| mrcbU34 |
000317528600033 WOS |
| mrcbU63 |
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 |
|