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A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086905" target="_blank" >RIV/61989100:27510/13:86086905 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences

  • Original language description

    In this paper we discuss and evaluate some possible applications of multivariate stochastic orderings consistent with the investors? preferences. Thus, starting by a recent classification of stochastic orderings consistent with preferences, we show how risk/variability multivariate measures are used to obtain non dominated choices in some financial problems. Then we examine orderings that satisfy an opportune identity property and the basic rules of the theory of integral stochastic orders. In this framework we propose some possible applications in portfolio problems where multivariate preferences must be applied. Finally, we evaluate the ex-post impact of the proposed theoretical aspects.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2013

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013

  • ISBN

    978-80-7248-892-6

  • ISSN

  • e-ISSN

  • Number of pages

    9

  • Pages from-to

    320-328

  • Publisher name

    Silesian University, School of Business Administration

  • Place of publication

    Karviná

  • Event location

    Ostrava

  • Event date

    Oct 16, 2013

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article