Value at Risk application to FSD portfolio efficiency testing

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00385930" target="_blank" >RIV/67985556:_____/12:00385930 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Value at Risk application to FSD portfolio efficiency testing
Original language description
The paper deals with efficiency testing of a given portfolio with respect to all other portfolios that can be created from the considered set of assets. The efficiency is based on the first order stochastic dominance (FSD) relation. A necessary and sufficient condition for the first order stochastic dominance criterion is expressed in terms of Value at Risks (VaRs). Consequently a FSD portfolio efficiency test based on VaRs is formulated. Contrary to the usual case, a general discrete distribution of portfolio returns is assumed what makes the test computationally more demanding comparing to the equiprobable scenarios case. Therefore we present a tractable reformulation of this test that turns constraints on VaRs into classical mixed-integer nonlinearprogramming problem.
Czech name
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Czech description
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of Managing and Modelling of Financial Risks 2012
ISBN
978-80-248-2835-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
320-325
Publisher name
VŠB-Technická univerzita Ostrava, Ekonomická fakulta
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 10, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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