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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F14%3A10282907%21RIV15-MSM-11320___
rdf:type
n10:Vysledek skos:Concept
rdfs:seeAlso
http://mesharpe.metapress.com/content/7048162506242163/
dcterms:description
In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U. S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented. In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U. S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented.
dcterms:title
Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets
skos:prefLabel
Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets
skos:notation
RIV/00216208:11320/14:10282907!RIV15-MSM-11320___
n3:aktivita
n17:S n17:P n17:I
n3:aktivity
I, P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), P(GBP402/12/G097), S
n3:cisloPeriodika
1
n3:dodaniDat
n11:2015
n3:domaciTvurceVysledku
n16:8463271
n3:druhVysledku
n14:J
n3:duvernostUdaju
n20:S
n3:entitaPredkladatele
n6:predkladatel
n3:idSjednocenehoVysledku
8119
n3:idVysledku
RIV/00216208:11320/14:10282907
n3:jazykVysledku
n13:eng
n3:klicovaSlova
stock index; stochastic dominance; portfolio efficiency; concordance measure
n3:klicoveSlovo
n5:portfolio%20efficiency n5:stock%20index n5:stochastic%20dominance n5:concordance%20measure
n3:kodStatuVydavatele
US - Spojené státy americké
n3:kontrolniKodProRIV
[6CA6C496E195]
n3:nazevZdroje
Emerging Markets Finance and Trade
n3:obor
n15:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
2
n3:projekt
n4:GBP402%2F12%2FG097 n4:EE2.3.20.0296 n4:GA13-13142S n4:ED1.1.00%2F02.0070
n3:rokUplatneniVysledku
n11:2014
n3:svazekPeriodika
50
n3:tvurceVysledku
Kopa, Miloš Tichy, Tomas
n3:wos
000338935500014
s:issn
1540-496X
s:numberOfPages
15
n18:doi
10.2753/REE1540-496X500113
n7:organizacniJednotka
11320