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  • Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore 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 is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore 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 Analysis of Classic Risk Minimizing Portfolios.
  • Efficiency Analysis of Classic Risk Minimizing Portfolios. (en)
skos:prefLabel
  • Efficiency Analysis of Classic Risk Minimizing Portfolios.
  • Efficiency Analysis of Classic Risk Minimizing Portfolios. (en)
skos:notation
  • RIV/61989100:27510/12:86084570!RIV14-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(ED1.1.00/02.0070), S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
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  • 133530
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  • RIV/61989100:27510/12:86084570
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  • stochastic dominance; concordance measure; stock index (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [FF79831C1D5A]
http://linked.open...v/mistoKonaniAkce
  • Kota Kinabalu, Sabah
http://linked.open...i/riv/mistoVydani
  • New York
http://linked.open...i/riv/nazevZdroje
  • 2012 IEEE Colloquium on Humanities, Science and Engineering Research (CHUSER 2012) : December 3-4, 2012, Kota Kinabalu, Sabah, Malaysia
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kopa, Miloš
  • Tichý, Tomáš
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000319211300041
http://linked.open.../riv/zahajeniAkce
number of pages
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  • IEEE
https://schema.org/isbn
  • 978-1-4673-4617-7
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  • 27510
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