About: Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mesharpe.metapress.com/content/7048162506242163/
Description	In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U. S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented. In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U. S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented. (en)
Title	Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets (en)
skos:prefLabel	Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets (en)
skos:notation	RIV/00216208:11320/14:10282907!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), P(GBP402/12/G097), S
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Kopa, Miloš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	8119
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10282907
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stock index; stochastic dominance; portfolio efficiency; concordance measure (en)
http://linked.open.../riv/klicoveSlovo	portfolio efficiency stochastic dominance concordance measure stock index
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[6CA6C496E195]
http://linked.open...i/riv/nazevZdroje	Emerging Markets Finance and Trade
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	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling DYME-Dynamic Models in Economics IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	50
http://linked.open...iv/tvurceVysledku	Kopa, Miloš Tichy, Tomas
http://linked.open...ain/vavai/riv/wos	000338935500014
issn	1540-496X
number of pages	15 (xsd:int)
http://bibframe.org/vocab/doi	10.2753/REE1540-496X500113
http://localhost/t...ganizacniJednotka	11320

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