A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences

Popis výsledku v původním jazyce

In this paper we discuss and evaluate some possible applications of multivariate stochastic orderings consistent with the investors? preferences. Thus, starting by a recent classification of stochastic orderings consistent with preferences, we show how risk/variability of multivariate measures are used to obtain non dominated choices in some financial problems. Then we examine orderings that satisfy an opportune identity property and the basic rules of the theory of integral stochastic orders. In this framework we propose a possible financial application where multivariate preferences must be applied to determine the dominance of a financial market respect to another one. In particular, we propose a first ex-post empirical comparison to evaluate the possible dominance among the US stock market, the German stock market and the UK stock exchange market, before and during the crisis (from 2003 till 2013). In this context, we analyze when there exists reward risk dominance among the financ

Název v anglickém jazyce

A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences

Popis výsledku anglicky

In this paper we discuss and evaluate some possible applications of multivariate stochastic orderings consistent with the investors? preferences. Thus, starting by a recent classification of stochastic orderings consistent with preferences, we show how risk/variability of multivariate measures are used to obtain non dominated choices in some financial problems. Then we examine orderings that satisfy an opportune identity property and the basic rules of the theory of integral stochastic orders. In this framework we propose a possible financial application where multivariate preferences must be applied to determine the dominance of a financial market respect to another one. In particular, we propose a first ex-post empirical comparison to evaluate the possible dominance among the US stock market, the German stock market and the UK stock exchange market, before and during the crisis (from 2003 till 2013). In this context, we analyze when there exists reward risk dominance among the financ

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic

ISBN

978-80-7248-939-8

ISSN

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e-ISSN

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Počet stran výsledku

14

Strana od-do

296-304

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

16. 10. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000345575000034