On the Financial Applications of Multivariate Stochastic Orderings
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095460" target="_blank" >RIV/61989100:27510/15:86095460 - 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
On the Financial Applications of Multivariate Stochastic Orderings
Original language description
The paper proposes a multivariate comparison among different financial markets, using risk/variability measures consistent with investors' preferences. First of all, we recall a recent classification of multivariate stochastic orderings and properly define the selection problem among different financial markets. Then, we propose an empirical financial application, using multivariate stochastic orderings consistent with the non-satiable and risk averse investors' preferences. For the empirical analysis we examine two different approaches; first, we assume that the return are normally distributed; second, we deal with the more general assumption that the returns' distribution follow a stable sub-Gaussian law.
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
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
New developments in pure and applied mathematics : proceedings of the International Conference on Mathematical Methods, Mathematical Models and Simulation in Science and Engineering (MMSSE 2015) : Vienna, Austria, March 15-17, 2015
ISBN
978-1-61804-287-3
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
142-145
Publisher name
[s.n.]
Place of publication
[Dánsko]
Event location
Vídeň
Event date
Mar 15, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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