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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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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
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e-ISSN
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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