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

页码：488 / 500

页数：13

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