MEASURING OF SECOND-ORDER STOCHASTIC DOMINANCE PORTFOLIO EFFICIENCY

被引：0
|
作者：
Kopa, Milos [1 ,2 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic
[2] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague 18675, Czech Republic
来源：
KYBERNETIKA | 2010年 / 46卷 / 03期
关键词：
stochastic dominance; stability; SSD portfolio efficiency measure; OPTIMIZATION PROBLEMS; CONSTRAINTS; RISK; DISTRIBUTIONS; FORMULATIONS; STABILITY; DUALITY;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
引用
收藏
页码：488 / 500
页数：13
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