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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F12%3A10125931%21RIV13-GA0-11320___
rdf:type
n7:Vysledek skos:Concept
rdfs:seeAlso
http://www.fhi.sk/files/katedry/kove/ssov/VKOXVI/Zbornik2012.pdf
dcterms:description
Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one. The task of this paper is to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor. Moreover, a portfolio based on Kendall measure is very poor (at least in terms of SSD efficiency). Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one. The task of this paper is to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor. Moreover, a portfolio based on Kendall measure is very poor (at least in terms of SSD efficiency).
dcterms:title
EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS
skos:prefLabel
EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS EFFICIENCY OF SEVERAL RISK MINIMIZING PORTFOLIOS
skos:notation
RIV/00216208:11320/12:10125931!RIV13-GA0-11320___
n7:predkladatel
n23:orjk%3A11320
n4:aktivita
n21:S n21:P
n4:aktivity
P(ED1.1.00/02.0070), P(GBP402/12/G097), S
n4:dodaniDat
n10:2013
n4:domaciTvurceVysledku
n19:8463271
n4:druhVysledku
n18:D
n4:duvernostUdaju
n5:S
n4:entitaPredkladatele
n12:predkladatel
n4:idSjednocenehoVysledku
133550
n4:idVysledku
RIV/00216208:11320/12:10125931
n4:jazykVysledku
n16:eng
n4:klicovaSlova
stochastic dominance; concordance measure; stock index
n4:klicoveSlovo
n15:stochastic%20dominance n15:stock%20index n15:concordance%20measure
n4:kontrolniKodProRIV
[FBE978EAF393]
n4:mistoKonaniAkce
Bratislava
n4:mistoVydani
BRATISLAVA
n4:nazevZdroje
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XVI)
n4:obor
n22:BB
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
2
n4:projekt
n6:GBP402%2F12%2FG097 n6:ED1.1.00%2F02.0070
n4:rokUplatneniVysledku
n10:2012
n4:tvurceVysledku
Tichý, Tomáš Kopa, Miloš
n4:typAkce
n9:EUR
n4:wos
000307520000021
n4:zahajeniAkce
2012-05-30+02:00
s:numberOfPages
6
n13:hasPublisher
IURA EDITION SPOL SRO
n17:isbn
978-80-225-3426-0
n8:organizacniJednotka
11320