Portfolio efficiency with respect to higher order stochastic dominance
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159491" target="_blank" >RIV/00216208:11320/13:10159491 - isvavai.cz</a>
Result on the web
<a href="https://mme2013.vspj.cz/about-conference/conference-proceedings/" target="_blank" >https://mme2013.vspj.cz/about-conference/conference-proceedings/</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Portfolio efficiency with respect to higher order stochastic dominance
Original language description
This paper deals with portfolio efficiency testing with respect to higher order stochastic dominance criteria. Firstly, we test the second- order stochastic dominance (SSD) portfolio efficiency, that allows for risk averse decision makers, for portfoliosfrom a regular grid. The grid is created from one- month US Treasury bill (a riskless asset) and 10 representative value-weighted active benchmark stock portfolios. They are formed, and annually rebalanced, based on individual stocks' market capitalization of equity, each representing a decile of the cross-section of stocks in a given year. Secondly, we limit our attention to SSD efficient portfolios and we test their efficiency with respect to higher order stochastic dominance. Finally, we compare allresults with mean- variance efficiency frontier. In all our models we assume discrete distribution of monthly returns and no short sales.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP402%2F12%2F0558" target="_blank" >GAP402/12/0558: Efficiency and risk control in decision making</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
31st International Conference Mathematical Methods in Economics 2013 Proceedings
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
423-428
Publisher name
College of Polytechnics Jihlava, Tolstého 16, Jihlava, Czech Republic
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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