About: Robustness and bootstrap approaches to SSD portfolio efficiency testing

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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://mme2012.opf.slu.cz/proceedings/pdf/076_Kopa.pdf
Description	This paper deals with portfolio efficiency testing with respect to second-order stochastic dominance (SSD) criteria. Unlike the pair-wise tests the portfolio efficiency tests allow for full diversication across the assets. As usual in SSD testing, the returns of assets are modeled by scenarios. We apply a computationally attractive method to test whether a US market portfolio, proxied by CRSP all share index, is SSD efficient with respect to 48 US industry representative portfolios. Moreover, we present a robust version of SSD portfolio eciency test that allows for small errors in data and we analyze their impact on the market portfolio SSD efficiency. We enrich the results by the estimation of p-value of market portfolio SSD efficiency when the bootstrap technique to the data is applied. This paper deals with portfolio efficiency testing with respect to second-order stochastic dominance (SSD) criteria. Unlike the pair-wise tests the portfolio efficiency tests allow for full diversication across the assets. As usual in SSD testing, the returns of assets are modeled by scenarios. We apply a computationally attractive method to test whether a US market portfolio, proxied by CRSP all share index, is SSD efficient with respect to 48 US industry representative portfolios. Moreover, we present a robust version of SSD portfolio eciency test that allows for small errors in data and we analyze their impact on the market portfolio SSD efficiency. We enrich the results by the estimation of p-value of market portfolio SSD efficiency when the bootstrap technique to the data is applied. (en)
Title	Robustness and bootstrap approaches to SSD portfolio efficiency testing Robustness and bootstrap approaches to SSD portfolio efficiency testing (en)
skos:prefLabel	Robustness and bootstrap approaches to SSD portfolio efficiency testing Robustness and bootstrap approaches to SSD portfolio efficiency testing (en)
skos:notation	RIV/00216208:11320/12:10125934!RIV13-GA0-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GAP402/10/1610), P(GAP402/12/0558)
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	165863
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/12:10125934
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	bootstrapping; robustness; second-order stochastic dominance; Portfolio efficiency (en)
http://linked.open.../riv/klicoveSlovo	robustness second-order stochastic dominance Portfolio efficiency bootstrapping
http://linked.open...ontrolniKodProRIV	[4FB3365CEC25]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
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	Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence Efficiency and risk control in decision making
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Kopa, Miloš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	11320
is http://linked.open...avai/riv/vysledek of	Robustness and bootstrap approaches to SSD portfolio efficiency testing

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