Parametric rules for stochastic comparisons
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099797" target="_blank" >RIV/61989100:27510/16:86099797 - 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
Parametric rules for stochastic comparisons
Original language description
In the financial literature, the second-degree stochastic dominance (2-SD) and the increasing and convex order (icx) are frequently used to rank distributions in terms of expectation and risk aversion. These dominance relations may be applied to the empirical distribution functions, obtained by the historical observations of the financial variables, or to parametric distributions, used to model such variables. In this regard, it is well documented that empirical distributions of financial returns are often skewed and exhibit fat tails. For this reason, we focus on the stable Paretian distribution, that has been shown to be especially suitable for modeling financial data. We analyze these two different approaches, namely parametric and non-parametric, and compare them by performing an empirical study. The analyzed dataset consists of the returns of a set of financial assets among the components of the S& P500.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
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
Article name in the collection
34th International Conference Mathematical Methods in Economics (MME) : proceedings papers
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
618-622
Publisher name
Technická univerzita Liberec
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500106