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
url http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf
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