EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125931" target="_blank" >RIV/00216208:11320/12:10125931 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/12:86083105
Result on the web
<a href="http://www.fhi.sk/files/katedry/kove/ssov/VKOXVI/Zbornik2012.pdf" target="_blank" >http://www.fhi.sk/files/katedry/kove/ssov/VKOXVI/Zbornik2012.pdf</a>
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS
Original language description
Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one. The task of this paper is to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor. Moreover, a portfolio based on Kendall measure is very poor (at leastin terms of SSD efficiency).
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XVI)
ISBN
978-80-225-3426-0
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
120-125
Publisher name
IURA EDITION SPOL SRO
Place of publication
BRATISLAVA
Event location
Bratislava
Event date
May 30, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000307520000021