About: Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf
Description	Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization. A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed. In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions. In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of interest for at least one risk averse investor under given conditions. Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization. A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed. In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions. In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of interest for at least one risk averse investor under given conditions. (en)
Title	Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios (en)
skos:prefLabel	Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios (en)
skos:notation	RIV/00216208:11320/13:10172640!RIV14-GA0-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), P(GAP402/12/0558), S
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2014
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	72029
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/13:10172640
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	Concordance measure portfolio efficiency stochastic dominance stock index
http://linked.open...odStatuVydavatele	PK - Pákistánská islámská republika
http://linked.open...ontrolniKodProRIV	[E85BA2F7D63E]
http://linked.open...i/riv/nazevZdroje	Pakistan Journal of Statistics
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 IT4Innovations Centre of Excellence Efficiency and risk control in decision making
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	29
http://linked.open...iv/tvurceVysledku	Kopa, Miloš Tichý, Tomáš
issn	1012-9367
number of pages	14 (xsd:int)
http://localhost/t...ganizacniJednotka	11320

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