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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%2F14%3A86090769" target="_blank" >RIV/61989100:27510/14:86090769 - 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 of 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 a possible financial application where multivariate preferences must be applied to determine the dominance of a financial market respect to another one. In particular, we propose a first ex-post empirical comparison to evaluate the possible dominance among the US stock market, the German stock market and the UK stock exchange market, before and during the crisis (from 2003 till 2013). In this context, we analyze when there exists reward risk dominance among the financ

  • 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

    2014

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic

  • ISBN

    978-80-7248-939-8

  • ISSN

  • e-ISSN

  • Number of pages

    14

  • Pages from-to

    296-304

  • 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

    WRD - Celosvětová akce

  • UT code for WoS article

    000345575000034