A general test for SSD portfolio efficiency

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313816" target="_blank" >RIV/00216208:11320/15:10313816 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s00291-014-0373-8" target="_blank" >http://dx.doi.org/10.1007/s00291-014-0373-8</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00291-014-0373-8" target="_blank" >10.1007/s00291-014-0373-8</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A general test for SSD portfolio efficiency

Popis výsledku v původním jazyce

We develop and implement a Linear Programming test to analyze whether a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. In case of efficiency, theprimal model identifies a sub-gradient vector of a utility function that rationalizes the evaluated portfolio. In case of inefficiency, the dual model identifies a second, efficient portfolio that dominates the evaluated portfolio. The test gives a general necessary and sufficient condition, and can deal with general linear portfolio restrictions, inefficiency degree measures, and scenarios with unequal probabilities. We also develop a compact version of the test that substantially reduces computational burden at the cost of losing information about the dual dominating portfolio in case of inefficiency. An application to US investment benchmark data qualifies a broad stock market index as significantly inefficient, and suggests that no

Název v anglickém jazyce

A general test for SSD portfolio efficiency

Popis výsledku anglicky

We develop and implement a Linear Programming test to analyze whether a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. In case of efficiency, theprimal model identifies a sub-gradient vector of a utility function that rationalizes the evaluated portfolio. In case of inefficiency, the dual model identifies a second, efficient portfolio that dominates the evaluated portfolio. The test gives a general necessary and sufficient condition, and can deal with general linear portfolio restrictions, inefficiency degree measures, and scenarios with unequal probabilities. We also develop a compact version of the test that substantially reduces computational burden at the cost of losing information about the dual dominating portfolio in case of inefficiency. An application to US investment benchmark data qualifies a broad stock market index as significantly inefficient, and suggests that no

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

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

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

OR Spektrum

ISSN

0171-6468

e-ISSN

—

Svazek periodika

37

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

32

Strana od-do

703-734

Kód UT WoS článku

000356732400007

EID výsledku v databázi Scopus

2-s2.0-84935013927