Efficiency Analysis of Classic Risk Minimizing Portfolios.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86084570" target="_blank" >RIV/61989100:27510/12:86084570 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Efficiency Analysis of Classic Risk Minimizing Portfolios.

Popis výsledku v původním jazyce

Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman

Název v anglickém jazyce

Efficiency Analysis of Classic Risk Minimizing Portfolios.

Popis výsledku anglicky

Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: Centrum excelence IT4Innovations</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

2012 IEEE Colloquium on Humanities, Science and Engineering Research (CHUSER 2012) : December 3-4, 2012, Kota Kinabalu, Sabah, Malaysia

ISBN

978-1-4673-4617-7

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

204-209

Název nakladatele

IEEE

Místo vydání

New York

Místo konání akce

Kota Kinabalu, Sabah

Datum konání akce

3. 12. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000319211300041