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Stochastic dominance in operations research

Project goals

The project is focused to stochastic dominance analysis in portfolio efficiency. New types of optimization problem formulations will be considered and developed. Particularly, optimization under NSD efficiency constraints will be investigated as a challenging case. Among them, new DEA-risk models equivalent to NSD efficiency will play a central role. Another field covered by the proposed project is seeking for new SD efficiency tests. The aim is to overcome known tests, namely, to improve test computational demand and extend to nontraditional classes of utility functions. Developed problems will be considered from the point of view of stability analysis with respect to changes in the underlying probability distribution. Models will be suitable for financial applications to US stock market portfolio efficiency analysis. Also, possible application to Czech stock market will be considered.

Keywords

Stochastic dominanceoperations researchefficiencyfinancial applications

Public support

  • Provider

    Czech Science Foundation

  • Programme

    Standard projects

  • Call for proposals

    Standardní projekty 19 (SGA0201500001)

  • Main participants

    Univerzita Karlova / Matematicko-fyzikální fakulta

  • Contest type

    VS - Public tender

  • Contract ID

    15-02938S

Alternative language

  • Project name in Czech

    Stochastická dominance v úlohách operačního výzkumu

  • Annotation in Czech

    Projekt je zaměřen na využití stochastické dominance při analýze eficience portfolia. Budou studovány nové typy formulace optimalizačních problémů. Speciálně bude studována optimalizace za podmínky NSD eficience, která je pro nás výzvou. Mezi nimi pak nové DEA-risk modely, které jsou ekvivalentní NSD-eficienci hrají centrální roli. Jinou oblastí projektem pokrytou je konstrukce nových testů SD eficience. Cílem je překonat známé testy, zejména zlepšit jejich výpočetní složitost a rozšířit pro netradiční třídy užitkových funkcí. Navržené modely budou uvažovány z pohledu analýzy stability při změně pravděpodobnostního rozdělení vstupů. Modely budou vhodné pro finanční aplikace, např. analýza eficience portfólia na US burze. Také bude uvažována aplikace na prostředí české burzy.

Scientific branches

  • R&D category

    ZV - Basic research

  • CEP classification - main branch

    BB - Applied statistics, operational research

  • CEP - secondary branch

  • CEP - another secondary branch

  • 10103 - Statistics and probability

Completed project evaluation

  • Provider evaluation

    V - Vynikající výsledky projektu (s mezinárodním významem atd.)

  • Project results evaluation

    The project has focused on the topic of stochastic dominance and its further utility in finance. The main aims of the project have been met. With respect to the length of the project and the structure of the team, the publication activity is adequate. The publication in Management Science deserves a special mention. The project results have been regularly presented at international conferences.

Solution timeline

  • Realization period - beginning

    Jan 1, 2015

  • Realization period - end

    Dec 31, 2017

  • Project status

    U - Finished project

  • Latest support payment

    Apr 11, 2017

Data delivery to CEP

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

  • Data delivery code

    CEP18-GA0-GA-U/02:1

  • Data delivery date

    May 4, 2018

Finance

  • Total approved costs

    3,217 thou. CZK

  • Public financial support

    3,217 thou. CZK

  • Other public sources

    0 thou. CZK

  • Non public and foreign sources

    0 thou. CZK

Basic information

Recognised costs

3 217 CZK thou.

Public support

3 217 CZK thou.

100%


Provider

Czech Science Foundation

CEP

BB - Applied statistics, operational research

Solution period

01. 01. 2015 - 31. 12. 2017