Asymptotic Multivariate Dominance: A Financial Application
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098330" target="_blank" >RIV/61989100:27510/16:86098330 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >http://dx.doi.org/10.1007/s11009-016-9502-y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >10.1007/s11009-016-9502-y</a>
Alternative languages
Result language
angličtina
Original language name
Asymptotic Multivariate Dominance: A Financial Application
Original language description
We propose a multivariate stochastic dominance relation aimed at ranking different financial markets/sectors from the point of view of a non-satiable risk averse investor. In particular, we assume that the vector of returns of a given market is in the domain of attraction of a symmetric stable Paretian law in order to take into account the asymptotic behaviour of the financial returns. We determine the stochastic dominance rule for stable symmetric distributions, where the stability parameter plays a crucial role. Consequently, the multivariate rule for ordering markets is based on a comparison between i) location parameters, ii) dispersion parameters, and iii) stability indices. Finally, we apply the method to the equity markets of the four countries with the highest gross domestic product in 2013, namely, the US, China, Japan and Germany. In this empirical comparison we examine the ex ante and ex post dominance between stock markets, either assuming that the returns are jointly (or conditionally, for a robust approach) Gaussian distributed, or in the domain of attraction of a stable sub-Gaussian law. (C) 2016, Springer Science+Business Media New York.
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
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA15-23699S" target="_blank" >GA15-23699S: Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Methodology and Computing in Applied Probability
ISSN
1387-5841
e-ISSN
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Volume of the periodical
18
Issue of the periodical within the volume
4
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
19
Pages from-to
1097-1115
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-84992450911