Incidence of stochastic dominance relations in financial data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10051872" target="_blank" >RIV/00216208:11320/10:10051872 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Incidence of stochastic dominance relations in financial data
Original language description
This paper deals with stochastic dominance (SD) relations and its presence in fi nancial data. The most popular is the first-order and the second-order stochastic dominance. In this paper, we choose almost 250 000 pairs of portfolios and we observe the incidence of the mean-variance relation and SD relations for diff erent orders of SD (fi rst, second, third, fourth, infi nite). Moreover, we consider two data sets, the first one contains the returns of stock market indexes before crisis, while the second one during crisis. We compare the results for pre-crisis data with that for during crisis.
Czech name
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Czech description
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Project
<a href="/en/project/GAP402%2F10%2F1610" target="_blank" >GAP402/10/1610: Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
University of South Bohemia in České Budějovice
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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