General linear formulations of stochastic dominance criteria

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159489" target="_blank" >RIV/00216208:11320/13:10159489 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.ejor.2013.04.015" target="_blank" >http://dx.doi.org/10.1016/j.ejor.2013.04.015</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ejor.2013.04.015" target="_blank" >10.1016/j.ejor.2013.04.015</a>

Jazyk výsledku

angličtina

Název v původním jazyce

General linear formulations of stochastic dominance criteria

Popis výsledku v původním jazyce

We develop and implement linear formulations of general Nth order stochastic dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implementedby solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean-variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial viola

Název v anglickém jazyce

General linear formulations of stochastic dominance criteria

Popis výsledku anglicky

We develop and implement linear formulations of general Nth order stochastic dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implementedby solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean-variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial viola

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Journal of Operational Research

ISSN

0377-2217

e-ISSN

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Svazek periodika

230

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

12

Strana od-do

321-332

Kód UT WoS článku

000321085400012

EID výsledku v databázi Scopus

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