About: Optimal mean - variance portfolios under NSD efficiency constraints

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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)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.ekf.vsb.cz/rmfr/cs/sbornik/
Description	This paper deals with new types of optimization problems when minimizing variance of portfolios which have at least the required mean return and, moreover, are classified as efficient with respect to a particular order of stochastic dominance (SD) criterion. These problems can be seen as generalizations of classical mean-variance models, where a risk measure (variance) is minimized under condition on portfolio mean return. The crucial condition on the stochastic dominance efficiency is expressed in terms of existence of %22optimal%22 utility function, such that a feasible portfolio is a maximizer of expected utility when the %22optimal%22 utility function is used. It means that new problems find portfolios having minimal variance with at least minimal required mean return and being the optimal solution of maximizing expected utility problems for at least one utility function that obeys the particular SD rules. This paper deals with new types of optimization problems when minimizing variance of portfolios which have at least the required mean return and, moreover, are classified as efficient with respect to a particular order of stochastic dominance (SD) criterion. These problems can be seen as generalizations of classical mean-variance models, where a risk measure (variance) is minimized under condition on portfolio mean return. The crucial condition on the stochastic dominance efficiency is expressed in terms of existence of %22optimal%22 utility function, such that a feasible portfolio is a maximizer of expected utility when the %22optimal%22 utility function is used. It means that new problems find portfolios having minimal variance with at least minimal required mean return and being the optimal solution of maximizing expected utility problems for at least one utility function that obeys the particular SD rules. (en)
Title	Optimal mean - variance portfolios under NSD efficiency constraints Optimal mean - variance portfolios under NSD efficiency constraints (en)
skos:prefLabel	Optimal mean - variance portfolios under NSD efficiency constraints Optimal mean - variance portfolios under NSD efficiency constraints (en)
skos:notation	RIV/00216208:11320/14:10282956!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	34807
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10282956
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	portfolio efficiency; optimal utility functions; N-th order stochastic dominance; Mean-variance criterion (en)
http://linked.open.../riv/klicoveSlovo	portfolio efficiency Mean-variance criterion N-th order stochastic dominance optimal utility functions
http://linked.open...ontrolniKodProRIV	[6403EE56C9C2]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Proceedings of Managing and Modelling of Financial Risks
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	2014-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-3631-7
http://localhost/t...ganizacniJednotka	11320

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