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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F12%3A86084570%21RIV14-MSM-27510___
rdf:type
skos:Concept n7:Vysledek
dcterms:description
Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore 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 is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one. In particular, the definition of the second-order stochastic dominance (SSD) relation uses comparisons of either twice cumulative distribution functions or expected utilities. Alternatively, one can define SSD relation using cumulative quantile functions or conditional value at risk. The task of this paper is therefore 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 Analysis of Classic Risk Minimizing Portfolios. Efficiency Analysis of Classic Risk Minimizing Portfolios.
skos:prefLabel
Efficiency Analysis of Classic Risk Minimizing Portfolios. Efficiency Analysis of Classic Risk Minimizing Portfolios.
skos:notation
RIV/61989100:27510/12:86084570!RIV14-MSM-27510___
n7:predkladatel
n18:orjk%3A27510
n4:aktivita
n5:P n5:S
n4:aktivity
P(ED1.1.00/02.0070), S
n4:dodaniDat
n17:2014
n4:domaciTvurceVysledku
n10:3252833
n4:druhVysledku
n16:D
n4:duvernostUdaju
n8:S
n4:entitaPredkladatele
n13:predkladatel
n4:idSjednocenehoVysledku
133530
n4:idVysledku
RIV/61989100:27510/12:86084570
n4:jazykVysledku
n20:eng
n4:klicovaSlova
stochastic dominance; concordance measure; stock index
n4:klicoveSlovo
n11:stock%20index n11:concordance%20measure n11:stochastic%20dominance
n4:kontrolniKodProRIV
[FF79831C1D5A]
n4:mistoKonaniAkce
Kota Kinabalu, Sabah
n4:mistoVydani
New York
n4:nazevZdroje
2012 IEEE Colloquium on Humanities, Science and Engineering Research (CHUSER 2012) : December 3-4, 2012, Kota Kinabalu, Sabah, Malaysia
n4:obor
n19:AH
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
2
n4:projekt
n22:ED1.1.00%2F02.0070
n4:rokUplatneniVysledku
n17:2012
n4:tvurceVysledku
Tichý, Tomáš Kopa, Miloš
n4:typAkce
n15:WRD
n4:wos
000319211300041
n4:zahajeniAkce
2012-12-03+01:00
s:numberOfPages
6
n21:hasPublisher
IEEE
n12:isbn
978-1-4673-4617-7
n9:organizacniJednotka
27510