Efficiency Analysis of Classic Risk Minimizing Portfolios.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86084570" target="_blank" >RIV/61989100:27510/12:86084570 - 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
Efficiency Analysis of Classic Risk Minimizing Portfolios.
Original language description
Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman
Czech name
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Czech description
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Project
<a href="/en/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: IT4Innovations Centre of Excellence</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
2012 IEEE Colloquium on Humanities, Science and Engineering Research (CHUSER 2012) : December 3-4, 2012, Kota Kinabalu, Sabah, Malaysia
ISBN
978-1-4673-4617-7
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
204-209
Publisher name
IEEE
Place of publication
New York
Event location
Kota Kinabalu, Sabah
Event date
Dec 3, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000319211300041

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