About: Decision problems with stochastic dominance constraints

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.ekf.vsb.cz/export/sites/ekf/frpfi/.content/galerie-dokumentu/final-2.pdf
Description	The paper deals with portfolio optimization problems with stochastic dominance constraints. In these problems, we try to find the optimal portfolio with respect to some objective function among all portfolios that dominate a given benchmark by a stochastic dominance relation. We consider two orders of stochastic dominance (the first and the second order stochastic dominance) and the mean return criterion. Moreover, we employ three risk measures (variance, Value at Risk and conditional Value at Risk) as the objectives. Hence we find 9 optimal portfolios that minimize risk under mean return or stochastic dominance constraints. We use 30 years long history data from US stock market. Moreover, we apply the cross-validation techniques and we compare the evolution of the optimal portfolios during the last 5 years. The paper deals with portfolio optimization problems with stochastic dominance constraints. In these problems, we try to find the optimal portfolio with respect to some objective function among all portfolios that dominate a given benchmark by a stochastic dominance relation. We consider two orders of stochastic dominance (the first and the second order stochastic dominance) and the mean return criterion. Moreover, we employ three risk measures (variance, Value at Risk and conditional Value at Risk) as the objectives. Hence we find 9 optimal portfolios that minimize risk under mean return or stochastic dominance constraints. We use 30 years long history data from US stock market. Moreover, we apply the cross-validation techniques and we compare the evolution of the optimal portfolios during the last 5 years. (en)
Title	Decision problems with stochastic dominance constraints Decision problems with stochastic dominance constraints (en)
skos:prefLabel	Decision problems with stochastic dominance constraints Decision problems with stochastic dominance constraints (en)
skos:notation	RIV/00216208:11320/13:10159494!RIV14-GA0-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GBP402/12/G097)
http://linked.open...vai/riv/dodaniDat	2014
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	68085
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/13:10159494
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stochastic dominance; risk measure; Portfolio selection (en)
http://linked.open.../riv/klicoveSlovo	Portfolio selection stochastic dominance risk measure
http://linked.open...ontrolniKodProRIV	[4A78CE6DACDC]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Financial Management of Firms and Financial Institutions 9th International Scientific Conference PROCEEDINGS
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	DYME-Dynamic Models in Economics
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Kopa, Miloš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2013-09-09 (xsd:date)
issn	2336-162X
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-3172-5
http://localhost/t...ganizacniJednotka	11320

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