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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F10%3A10051872%21RIV11-GA0-11320___
rdf:type
n8:Vysledek skos:Concept
dcterms:description
This paper deals with stochastic dominance (SD) relations and its presence in fi nancial data. The most popular is the first-order and the second-order stochastic dominance. In this paper, we choose almost 250 000 pairs of portfolios and we observe the incidence of the mean-variance relation and SD relations for diff erent orders of SD (fi rst, second, third, fourth, infi nite). Moreover, we consider two data sets, the first one contains the returns of stock market indexes before crisis, while the second one during crisis. We compare the results for pre-crisis data with that for during crisis. This paper deals with stochastic dominance (SD) relations and its presence in fi nancial data. The most popular is the first-order and the second-order stochastic dominance. In this paper, we choose almost 250 000 pairs of portfolios and we observe the incidence of the mean-variance relation and SD relations for diff erent orders of SD (fi rst, second, third, fourth, infi nite). Moreover, we consider two data sets, the first one contains the returns of stock market indexes before crisis, while the second one during crisis. We compare the results for pre-crisis data with that for during crisis.
dcterms:title
Incidence of stochastic dominance relations in financial data Incidence of stochastic dominance relations in financial data
skos:prefLabel
Incidence of stochastic dominance relations in financial data Incidence of stochastic dominance relations in financial data
skos:notation
RIV/00216208:11320/10:10051872!RIV11-GA0-11320___
n3:aktivita
n4:Z n4:P
n3:aktivity
P(GAP402/10/1610), Z(MSM0021620839)
n3:dodaniDat
n15:2011
n3:domaciTvurceVysledku
n12:8463271
n3:druhVysledku
n16:D
n3:duvernostUdaju
n22:S
n3:entitaPredkladatele
n20:predkladatel
n3:idSjednocenehoVysledku
263333
n3:idVysledku
RIV/00216208:11320/10:10051872
n3:jazykVysledku
n10:eng
n3:klicovaSlova
stochastic dominance, portfolio analysis, stock market indexes
n3:klicoveSlovo
n21:stochastic%20dominance n21:stock%20market%20indexes n21:portfolio%20analysis
n3:kontrolniKodProRIV
[0F55A0D0C84A]
n3:mistoKonaniAkce
České Budějovice
n3:mistoVydani
České Budějovice
n3:nazevZdroje
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010
n3:obor
n6:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n14:GAP402%2F10%2F1610
n3:rokUplatneniVysledku
n15:2010
n3:tvurceVysledku
Kopa, Miloš
n3:typAkce
n18:EUR
n3:zahajeniAkce
2010-09-08+02:00
n3:zamer
n11:MSM0021620839
s:numberOfPages
6
n17:hasPublisher
University of South Bohemia in České Budějovice
n5:isbn
978-80-7394-218-2
n7:organizacniJednotka
11320