Optimal mean - variance portfolios under NSD efficiency constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282956" target="_blank" >RIV/00216208:11320/14:10282956 - isvavai.cz</a>
Result on the web
<a href="http://www.ekf.vsb.cz/rmfr/cs/sbornik/" target="_blank" >http://www.ekf.vsb.cz/rmfr/cs/sbornik/</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Optimal mean - variance portfolios under NSD efficiency constraints
Original language description
This paper deals with new types of optimization problems when minimizing variance of portfolios which have at least the required mean return and, moreover, are classified as efficient with respect to a particular order of stochastic dominance (SD) criterion. These problems can be seen as generalizations of classical mean-variance models, where a risk measure (variance) is minimized under condition on portfolio mean return. The crucial condition on the stochastic dominance efficiency is expressed in terms of existence of "optimal" utility function, such that a feasible portfolio is a maximizer of expected utility when the "optimal" utility function is used. It means that new problems find portfolios having minimal variance with at least minimal requiredmean return and being the optimal solution of maximizing expected utility problems for at least one utility function that obeys the particular SD rules.
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
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
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 Managing and Modelling of Financial Risks
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
387-392
Publisher name
VŠB-Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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