Asymptotic stochastic dominance rules for sums of i.i.d. random variables.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86094707" target="_blank" >RIV/61989100:27510/16:86094707 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.cam.2015.12.017" target="_blank" >http://dx.doi.org/10.1016/j.cam.2015.12.017</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.cam.2015.12.017" target="_blank" >10.1016/j.cam.2015.12.017</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Asymptotic stochastic dominance rules for sums of i.i.d. random variables.

Popis výsledku v původním jazyce

In this paper, we deal with stochastic dominance rules under the assumption that the random variables are stable distributed. The stable Paretian distribution is generally used to model a wide range of phenomena. In particular, its use in several applicative areas is mainly justified by the generalized central limit theorem, which states that the sum of a number of i.i.d. random variables with heavy tailed distributions tends to a stable Paretian distribution. We show that the asymptotic behaviour of the tails is fundamental for establishing a dominance in the stable Paretian case. Moreover, we introduce a new weak stochastic order of dispersion, aimed at evaluating whether a random variable is more "risky" than another under condition of maximum uncertainty, and a stochastic order of asymmetry, aimed at evaluating whether a random variable is more or less asymmetric than another. The theoretical results are confirmed by a financial application of the obtained dominance rules. The empirical analysis shows that the weak order of risk introduced in this paper is generally a good indicator for the second order stochastic dominance.

Název v anglickém jazyce

Asymptotic stochastic dominance rules for sums of i.i.d. random variables.

Popis výsledku anglicky

In this paper, we deal with stochastic dominance rules under the assumption that the random variables are stable distributed. The stable Paretian distribution is generally used to model a wide range of phenomena. In particular, its use in several applicative areas is mainly justified by the generalized central limit theorem, which states that the sum of a number of i.i.d. random variables with heavy tailed distributions tends to a stable Paretian distribution. We show that the asymptotic behaviour of the tails is fundamental for establishing a dominance in the stable Paretian case. Moreover, we introduce a new weak stochastic order of dispersion, aimed at evaluating whether a random variable is more "risky" than another under condition of maximum uncertainty, and a stochastic order of asymmetry, aimed at evaluating whether a random variable is more or less asymmetric than another. The theoretical results are confirmed by a financial application of the obtained dominance rules. The empirical analysis shows that the weak order of risk introduced in this paper is generally a good indicator for the second order stochastic dominance.

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/GA15-23699S" target="_blank" >GA15-23699S: RPF a OT aplikovaná na mezinárodních finančních trzích a problému výběru portfolio</a><br>

Návaznosti

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

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Journal of computational and applied mathematics

ISSN

0377-0427

e-ISSN

—

Svazek periodika

300

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

17

Strana od-do

432-448

Kód UT WoS článku

000371551300031

EID výsledku v databázi Scopus

2-s2.0-84957560262