Out-of-sample SSD efficiency of mean-CVaR efficient portfolios
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313821" target="_blank" >RIV/00216208:11320/15:10313821 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Out-of-sample SSD efficiency of mean-CVaR efficient portfolios
Original language description
The paper deals with out-of-sample efficiency of particular portfo- lios with respect to the second order stochastic dominance (SSD). Firstly, using Conditional Value at Risk (CVaR) as the measure of risk, we compute three mean-risk efficient portfoliosfrom the mean-CVaR in-sample efficiency frontier. These portfolios are identified as the optimal solutions of the CVaR minimizing problem under the condition on minimal required portfolio mean return. Three levels of minimal required portfolio mean return are considered. Then we test out-of-sample efficiency of all these portfolios with respect to the second order stochastic dominance. We apply this procedure to US stock market daily data 1927-2014 such that we use one year moving window period for bothin-sample and out-of-sample analysis. Hence we identify 87 in-sample sets of three mean- CVaR efficient portfolios and we test SSD efficiency of all these 261 portfolios. Moreover, we analyze the out-of-sample efficiency (measure of SSD
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/GA15-02938S" target="_blank" >GA15-02938S: Stochastic dominance in operations research</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
Article name in the collection
Conference Proceedings of 33rd International Conference Mathematical Methods in Economics MME 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
377-382
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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