Asymptotic Multivariate Dominance: A Financial Application

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098330" target="_blank" >RIV/61989100:27510/16:86098330 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >http://dx.doi.org/10.1007/s11009-016-9502-y</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >10.1007/s11009-016-9502-y</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Asymptotic Multivariate Dominance: A Financial Application

Popis výsledku v původním jazyce

We propose a multivariate stochastic dominance relation aimed at ranking different financial markets/sectors from the point of view of a non-satiable risk averse investor. In particular, we assume that the vector of returns of a given market is in the domain of attraction of a symmetric stable Paretian law in order to take into account the asymptotic behaviour of the financial returns. We determine the stochastic dominance rule for stable symmetric distributions, where the stability parameter plays a crucial role. Consequently, the multivariate rule for ordering markets is based on a comparison between i) location parameters, ii) dispersion parameters, and iii) stability indices. Finally, we apply the method to the equity markets of the four countries with the highest gross domestic product in 2013, namely, the US, China, Japan and Germany. In this empirical comparison we examine the ex ante and ex post dominance between stock markets, either assuming that the returns are jointly (or conditionally, for a robust approach) Gaussian distributed, or in the domain of attraction of a stable sub-Gaussian law. (C) 2016, Springer Science+Business Media New York.

Název v anglickém jazyce

Asymptotic Multivariate Dominance: A Financial Application

Popis výsledku anglicky

We propose a multivariate stochastic dominance relation aimed at ranking different financial markets/sectors from the point of view of a non-satiable risk averse investor. In particular, we assume that the vector of returns of a given market is in the domain of attraction of a symmetric stable Paretian law in order to take into account the asymptotic behaviour of the financial returns. We determine the stochastic dominance rule for stable symmetric distributions, where the stability parameter plays a crucial role. Consequently, the multivariate rule for ordering markets is based on a comparison between i) location parameters, ii) dispersion parameters, and iii) stability indices. Finally, we apply the method to the equity markets of the four countries with the highest gross domestic product in 2013, namely, the US, China, Japan and Germany. In this empirical comparison we examine the ex ante and ex post dominance between stock markets, either assuming that the returns are jointly (or conditionally, for a robust approach) Gaussian distributed, or in the domain of attraction of a stable sub-Gaussian law. (C) 2016, Springer Science+Business Media New York.

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

<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

Methodology and Computing in Applied Probability

ISSN

1387-5841

e-ISSN

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Svazek periodika

18

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

19

Strana od-do

1097-1115

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-84992450911