Míry eficience portfolia vzhledem k stochastické dominanci
Stochastic dominance portfolio efficiency measures
rigorózní práce (UZNÁNO)

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Trvalý odkaz
http://hdl.handle.net/20.500.11956/24707Identifikátory
SIS: 73405
Kolekce
- Kvalifikační práce [11325]
Autor
Fakulta / součást
Matematicko-fyzikální fakulta
Obor
Pravděpodobnost, matematická statistika a ekonometrie
Katedra / ústav / klinika
Katedra pravděpodobnosti a matematické statistiky
Datum obhajoby
5. 6. 2009
Nakladatel
Univerzita Karlova, Matematicko-fyzikální fakultaJazyk
Čeština
Známka
Uznáno
In the present work we study the stochastic dominance portfolio e ciency measures. The investor's risk attitude is given by the type of an utility function. If this information is unknown or a general investor is assumed, it is possible to use the stochastic dominance principle, in which the portfolio is only classi ed as e cient or ine cient. We build on the works of Post, Kuosmanen and Kopa, who formulated the criteria of portfolio e ciency for nonsatiate and risk averse investors. On the basis of these criteria, we de ne the second-order stochastic dominance (SSD) portfolio e ciency measures. We examine the properties of SSD ine ciency measures, which allow to compare SSD ine cient portfolios. We prove mutual relationships for the de ned SSD ine ciency measures. Eventually, we test the SSD e ciency of a US market portfolio on real-world US Stock Exchange data.