Multivariate stochastic dominance applied to sector-based portfolio selection

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247526" target="_blank" >RIV/61989100:27510/21:10247526 - isvavai.cz</a>

Výsledek na webu

<a href="https://academic.oup.com/imaman/article-abstract/32/2/139/5826538?redirectedFrom=fulltext" target="_blank" >https://academic.oup.com/imaman/article-abstract/32/2/139/5826538?redirectedFrom=fulltext</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1093/imaman/dpaa004" target="_blank" >10.1093/imaman/dpaa004</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Multivariate stochastic dominance applied to sector-based portfolio selection

Popis výsledku v původním jazyce

In this study, we investigate whether sector-weighted portfolios based on alternative parametric assumptions are consistent with multivariate stochastic dominance (MSD) conditions for a class of non-satiable risk-averse investors. Focusing specifically on stable symmetric and Student&apos;s t distributions, we propose and motivate an MSD rule to determine a partial order among sectors, based on a comparison between (i) location, (ii) dispersion parameters and (iii) either stability indices (for stable symmetric distributions) or degrees of freedom (for Student&apos;s t distributions). The proposed MSD rule is applied to the US equity market to evaluate whether and how the derived stochastic dominance conditions are relevant to investors&apos; decisions. The empirical study confirms that the proposed MSD rule is effective and that the tail behaviour of returns is relevant to the optimization of portfolios for non-satiable investors.

Název v anglickém jazyce

Multivariate stochastic dominance applied to sector-based portfolio selection

Popis výsledku anglicky

In this study, we investigate whether sector-weighted portfolios based on alternative parametric assumptions are consistent with multivariate stochastic dominance (MSD) conditions for a class of non-satiable risk-averse investors. Focusing specifically on stable symmetric and Student&apos;s t distributions, we propose and motivate an MSD rule to determine a partial order among sectors, based on a comparison between (i) location, (ii) dispersion parameters and (iii) either stability indices (for stable symmetric distributions) or degrees of freedom (for Student&apos;s t distributions). The proposed MSD rule is applied to the US equity market to evaluate whether and how the derived stochastic dominance conditions are relevant to investors&apos; decisions. The empirical study confirms that the proposed MSD rule is effective and that the tail behaviour of returns is relevant to the optimization of portfolios for non-satiable investors.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA20-16764S" target="_blank" >GA20-16764S: Zobecněný přístup ke stochastické dominanci: teorie a finanční aplikace</a><br>

Návaznosti

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

IMA Journal of Management Mathematics

ISSN

1471-678X

e-ISSN

—

Svazek periodika

32

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

22

Strana od-do

139-160

Kód UT WoS článku

000637279900002

EID výsledku v databázi Scopus

2-s2.0-85088808445