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A general test for SSD portfolio efficiency

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313816" target="_blank" >RIV/00216208:11320/15:10313816 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1007/s00291-014-0373-8" target="_blank" >http://dx.doi.org/10.1007/s00291-014-0373-8</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s00291-014-0373-8" target="_blank" >10.1007/s00291-014-0373-8</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    A general test for SSD portfolio efficiency

  • Original language description

    We develop and implement a Linear Programming test to analyze whether a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. In case of efficiency, theprimal model identifies a sub-gradient vector of a utility function that rationalizes the evaluated portfolio. In case of inefficiency, the dual model identifies a second, efficient portfolio that dominates the evaluated portfolio. The test gives a general necessary and sufficient condition, and can deal with general linear portfolio restrictions, inefficiency degree measures, and scenarios with unequal probabilities. We also develop a compact version of the test that substantially reduces computational burden at the cost of losing information about the dual dominating portfolio in case of inefficiency. An application to US investment benchmark data qualifies a broad stock market index as significantly inefficient, and suggests that no

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2015

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    OR Spektrum

  • ISSN

    0171-6468

  • e-ISSN

  • Volume of the periodical

    37

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    DE - GERMANY

  • Number of pages

    32

  • Pages from-to

    703-734

  • UT code for WoS article

    000356732400007

  • EID of the result in the Scopus database

    2-s2.0-84935013927