About: Minimal Risk Portfolios under SSD efficiency constraints

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.mme2014.upol.cz/conference-proceedings
Description	This paper deals with new types of optimization problems when minimizing a risk of a portfolio under a condition on portfolio mean return and over portfolios which are classified as efficient with respect to second-order stochastic dominance (SSD) criterion. These problems can be seen as generalizations of classical mean-risk models where a risk measure is minimized under condition on portfolio mean return. The crucial condition on the second order stochastic dominance efficiency is expressed in terms of existence of %22optimal%22 utility function which obeys SSD rules. It means that new problems find portfolios having minimal particular risk measure (variance, Value at Risk, conditional Value at Risk), with at least minimal required mean return and being the optimal solution of maximization expected utility problems for at least one non-decreasing and concave utility function. This study reformulates these new problems in linear, nonlinear, mixed-integer programs. Moreover, using US stock market data, paper compares the classical mean-risk frontiers with optimal portfolios of the new problems with SSD efficiency constraints. This paper deals with new types of optimization problems when minimizing a risk of a portfolio under a condition on portfolio mean return and over portfolios which are classified as efficient with respect to second-order stochastic dominance (SSD) criterion. These problems can be seen as generalizations of classical mean-risk models where a risk measure is minimized under condition on portfolio mean return. The crucial condition on the second order stochastic dominance efficiency is expressed in terms of existence of %22optimal%22 utility function which obeys SSD rules. It means that new problems find portfolios having minimal particular risk measure (variance, Value at Risk, conditional Value at Risk), with at least minimal required mean return and being the optimal solution of maximization expected utility problems for at least one non-decreasing and concave utility function. This study reformulates these new problems in linear, nonlinear, mixed-integer programs. Moreover, using US stock market data, paper compares the classical mean-risk frontiers with optimal portfolios of the new problems with SSD efficiency constraints. (en)
Title	Minimal Risk Portfolios under SSD efficiency constraints Minimal Risk Portfolios under SSD efficiency constraints (en)
skos:prefLabel	Minimal Risk Portfolios under SSD efficiency constraints Minimal Risk Portfolios under SSD efficiency constraints (en)
skos:notation	RIV/00216208:11320/14:10282967!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP402/12/0558)
http://linked.open...vai/riv/dodaniDat	2015
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	29464
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10282967
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	risk measuring; portfolio efficiency; stochastic dominance (en)
http://linked.open.../riv/klicoveSlovo	portfolio efficiency stochastic dominance risk measuring
http://linked.open...ontrolniKodProRIV	[9F8FC6F98EAD]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Omlomouc
http://linked.open...i/riv/nazevZdroje	Conference Proceedings of the 32nd International Conference Mathematical Methods in Economics MME 2014
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Efficiency and risk control in decision making
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Kopa, Miloš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9
http://localhost/t...ganizacniJednotka	11320

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