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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

  • DOI - Digital Object Identifier

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

  • 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

    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

  • e-ISSN

  • 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