| Title:
|
Measuring of second–order stochastic dominance portfolio efficiency (English) |
| Author:
|
Kopa, Miloš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
46 |
| Issue:
|
3 |
| Year:
|
2010 |
| Pages:
|
488-500 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a $\delta$-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and $\delta$-SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new SSD and $\delta$-SSD portfolio efficiency measures as measures of the stability. We derive a non-linear and mixed-integer non-linear programs for evaluating these measures. Contrary to all existing SSD portfolio inefficiency measures, these new measures allow us to compare any two $\delta$-SSD efficient or SSD efficient portfolios. Finally, using historical US stock market data, we compute $\delta$-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios. (English) |
| Keyword:
|
stochastic dominance |
| Keyword:
|
stability |
| Keyword:
|
SSD portfolio efficiency measure |
| MSC:
|
60E15 |
| MSC:
|
91B28 |
| MSC:
|
91B30 |
| MSC:
|
91G10 |
| idZBL:
|
Zbl 1193.91140 |
| idMR:
|
MR2676085 |
| . |
| Date available:
|
2010-09-13T17:00:13Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/140763 |
| . |
| Reference:
|
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