Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10172640" target="_blank" >RIV/00216208:11320/13:10172640 - isvavai.cz</a>

Alternative codes found

RIV/61989100:27510/13:86083098

Result on the web

<a href="http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf" target="_blank" >http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf</a>

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

Original language description

Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization. A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed. In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions. In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of inte

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

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)

Publication year

2013

Confidentiality

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

Name of the periodical

Pakistan Journal of Statistics

ISSN

1012-9367

e-ISSN

—

Volume of the periodical

29

Issue of the periodical within the volume

5

Country of publishing house

PK - PAKISTAN

Number of pages

14

Pages from-to

697-710

UT code for WoS article

—

EID of the result in the Scopus database

—