Stochastic dominance enhanced portfolios - empirical evidence

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10401756" target="_blank" >RIV/00216208:11320/16:10401756 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stochastic dominance enhanced portfolios - empirical evidence
Original language description
Stochastic dominance is a relation between two random variables allowing to compare random returns of two portfolios. Based on the type of stochastic dominance, a decision maker can use the first-order, the second-order, the third-order stochastic dominance criteria or some more general rules. In this paper, we analyze the optimal portfolios of stochastic dominance constrained problems for maximizing mean returns objective and various types of stochastic dominance relations (the first-order, the second-order, the third-order). Especially, we focus on the risk-reward in-sample performance of the portfolio returns. We consider monthly returns of 25 Fama-French portfolios (base assets) from two periods: during crises period (2007-2010) and after crises period (2011-2014). We compare the results of the during crises period with that of the after crises period.
Czech name
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Czech description
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Project
<a href="/en/project/GA15-02938S" target="_blank" >GA15-02938S: Stochastic dominance in operations research</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II
ISBN
978-80-248-3994-3
ISSN
2464-6970
e-ISSN
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Number of pages
7
Pages from-to
417-423
Publisher name
VSB Tech Univ Ostrava, Fac Econ, Dept Finance
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000495792700053

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