Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10172640" target="_blank" >RIV/00216208:11320/13:10172640 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61989100:27510/13:86083098

Výsledek na webu

<a href="http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf" target="_blank" >http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

Popis výsledku v původním jazyce

Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization. A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed. In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions. In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of inte

Název v anglickém jazyce

Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

Popis výsledku anglicky

Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization. A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed. In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions. In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of inte

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

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

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

Pakistan Journal of Statistics

ISSN

1012-9367

e-ISSN

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Svazek periodika

29

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

PK - Pákistánská islámská republika

Počet stran výsledku

14

Strana od-do

697-710

Kód UT WoS článku

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EID výsledku v databázi Scopus

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