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
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Czech description
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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
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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
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
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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