Decision problems with stochastic dominance constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159494" target="_blank" >RIV/00216208:11320/13:10159494 - isvavai.cz</a>
Result on the web
<a href="http://www.ekf.vsb.cz/export/sites/ekf/frpfi/.content/galerie-dokumentu/final-2.pdf" target="_blank" >http://www.ekf.vsb.cz/export/sites/ekf/frpfi/.content/galerie-dokumentu/final-2.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Decision problems with stochastic dominance constraints
Original language description
The paper deals with portfolio optimization problems with stochastic dominance constraints. In these problems, we try to find the optimal portfolio with respect to some objective function among all portfolios that dominate a given benchmark by a stochastic dominance relation. We consider two orders of stochastic dominance (the first and the second order stochastic dominance) and the mean return criterion. Moreover, we employ three risk measures (variance, Value at Risk and conditional Value at Risk) asthe objectives. Hence we find 9 optimal portfolios that minimize risk under mean return or stochastic dominance constraints. We use 30 years long history data from US stock market. Moreover, we apply the cross-validation techniques and we compare the evolution of the optimal portfolios during the last 5 years.
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/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</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
Financial Management of Firms and Financial Institutions 9th International Scientific Conference PROCEEDINGS
ISBN
978-80-248-3172-5
ISSN
2336-162X
e-ISSN
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Number of pages
8
Pages from-to
367-374
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 9, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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