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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F13%3A10172640%21RIV14-GA0-11320___
rdf:type
skos:Concept n16:Vysledek
rdfs:seeAlso
http://www.pakjs.com/journals/29%285%29/29%285%2916.pdf
dcterms: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.
dcterms:title
Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios
skos:prefLabel
Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios Efficiency Analysis of Several EU Stock Markets: Mean-Risk Efficient Portfolios
skos:notation
RIV/00216208:11320/13:10172640!RIV14-GA0-11320___
n16:predkladatel
n17:orjk%3A11320
n3:aktivita
n19:S n19:P
n3:aktivity
P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), P(GAP402/12/0558), S
n3:cisloPeriodika
5
n3:dodaniDat
n7:2014
n3:domaciTvurceVysledku
n20:8463271
n3:druhVysledku
n18:J
n3:duvernostUdaju
n14:S
n3:entitaPredkladatele
n13:predkladatel
n3:idSjednocenehoVysledku
72029
n3:idVysledku
RIV/00216208:11320/13:10172640
n3:jazykVysledku
n4:eng
n3:klicovaSlova
stock index; stochastic dominance; portfolio efficiency; Concordance measure
n3:klicoveSlovo
n10:stock%20index n10:stochastic%20dominance n10:portfolio%20efficiency n10:Concordance%20measure
n3:kodStatuVydavatele
PK - Pákistánská islámská republika
n3:kontrolniKodProRIV
[E85BA2F7D63E]
n3:nazevZdroje
Pakistan Journal of Statistics
n3:obor
n6:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
2
n3:projekt
n8:GA13-13142S n8:ED1.1.00%2F02.0070 n8:GAP402%2F12%2F0558 n8:EE2.3.20.0296
n3:rokUplatneniVysledku
n7:2013
n3:svazekPeriodika
29
n3:tvurceVysledku
Tichý, Tomáš Kopa, Miloš
s:issn
1012-9367
s:numberOfPages
14
n9:organizacniJednotka
11320