Portfolio Selection Problems Consistent with Given Preference Orderings
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088601" target="_blank" >RIV/61989100:27510/13:86088601 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1142/S0219024913500295" target="_blank" >http://dx.doi.org/10.1142/S0219024913500295</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1142/S0219024913500295" target="_blank" >10.1142/S0219024913500295</a>
Alternative languages
Result language
angličtina
Original language name
Portfolio Selection Problems Consistent with Given Preference Orderings
Original language description
This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different portfolio problems and the respective orderings used to rank investors' choices: (1) risk orderings, (2) variability orderings, and (3) tracking-error orderings. For each problem, we discuss the properties of the risk measures, variability measures, and tracking-error measures, as well as their consistency with investor choices. Finally, for each problem, we propose an empirical application of several admissible portfolio optimization problems using the US stock market. The proposed empirical analysis permits us to evaluate the ex-post impact of the optimal choices, thereby deriving completely different investors' preference orderings during the recent financial crisis.
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
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of Theoretical and Applied Finance
ISSN
0219-0249
e-ISSN
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Volume of the periodical
16
Issue of the periodical within the volume
5
Country of publishing house
SG - SINGAPORE
Number of pages
38
Pages from-to
1-38
UT code for WoS article
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EID of the result in the Scopus database
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