About: EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.fhi.sk/files/katedry/kove/ssov/VKOXVI/Zbornik2012.pdf
Description	Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one. The task of this paper is 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 rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor. Moreover, a portfolio based on Kendall measure is very poor (at least in terms of SSD efficiency). Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one. The task of this paper is 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 rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor. Moreover, a portfolio based on Kendall measure is very poor (at least in terms of SSD efficiency). (en)
Title	EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS (en)
skos:prefLabel	EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS (en)
skos:notation	RIV/00216208:11320/12:10125931!RIV13-GA0-11320___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(GBP402/12/G097), S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kopa, Miloš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	133550
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/12:10125931
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stochastic dominance; concordance measure; stock index (en)
http://linked.open.../riv/klicoveSlovo	stochastic dominance concordance measure stock index
http://linked.open...ontrolniKodProRIV	[FBE978EAF393]
http://linked.open...v/mistoKonaniAkce	Bratislava
http://linked.open...i/riv/mistoVydani	BRATISLAVA
http://linked.open...i/riv/nazevZdroje	PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XVI)
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	DYME-Dynamic Models in Economics IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Kopa, Miloš Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000307520000021
http://linked.open.../riv/zahajeniAkce	2012-05-30 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	IURA EDITION SPOL SRO
https://schema.org/isbn	978-80-225-3426-0
http://localhost/t...ganizacniJednotka	11320

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