Multivariate stochastic dominance applied to sector-based portfolio selection
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247526" target="_blank" >RIV/61989100:27510/21:10247526 - isvavai.cz</a>
Result on the web
<a href="https://academic.oup.com/imaman/article-abstract/32/2/139/5826538?redirectedFrom=fulltext" target="_blank" >https://academic.oup.com/imaman/article-abstract/32/2/139/5826538?redirectedFrom=fulltext</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1093/imaman/dpaa004" target="_blank" >10.1093/imaman/dpaa004</a>
Alternative languages
Result language
angličtina
Original language name
Multivariate stochastic dominance applied to sector-based portfolio selection
Original language description
In this study, we investigate whether sector-weighted portfolios based on alternative parametric assumptions are consistent with multivariate stochastic dominance (MSD) conditions for a class of non-satiable risk-averse investors. Focusing specifically on stable symmetric and Student's t distributions, we propose and motivate an MSD rule to determine a partial order among sectors, based on a comparison between (i) location, (ii) dispersion parameters and (iii) either stability indices (for stable symmetric distributions) or degrees of freedom (for Student's t distributions). The proposed MSD rule is applied to the US equity market to evaluate whether and how the derived stochastic dominance conditions are relevant to investors' decisions. The empirical study confirms that the proposed MSD rule is effective and that the tail behaviour of returns is relevant to the optimization of portfolios for non-satiable investors.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA20-16764S" target="_blank" >GA20-16764S: A generalized approach to stochastic dominance: theory and financial applications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
IMA Journal of Management Mathematics
ISSN
1471-678X
e-ISSN
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Volume of the periodical
32
Issue of the periodical within the volume
2
Country of publishing house
GB - UNITED KINGDOM
Number of pages
22
Pages from-to
139-160
UT code for WoS article
000637279900002
EID of the result in the Scopus database
2-s2.0-85088808445