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Stochastic dominance portfolio efficiency measures
dc.creatorJakubcová, Monika
dc.date.accessioned2017-04-20T04:50:19Z
dc.date.available2017-04-20T04:50:19Z
dc.date.issued2009
dc.identifier.urihttp://hdl.handle.net/20.500.11956/24707
dc.description.abstractIn 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.en_US
dc.languageČeštinacs_CZ
dc.language.isocs_CZ
dc.publisherUniverzita Karlova, Matematicko-fyzikální fakultacs_CZ
dc.titleMíry eficience portfolia vzhledem k stochastické dominancics_CZ
dc.typerigorózní prácecs_CZ
dcterms.created2009
dcterms.dateAccepted2009-06-05
dc.description.departmentDepartment of Probability and Mathematical Statisticsen_US
dc.description.departmentKatedra pravděpodobnosti a matematické statistikycs_CZ
dc.description.facultyFaculty of Mathematics and Physicsen_US
dc.description.facultyMatematicko-fyzikální fakultacs_CZ
dc.identifier.repId73405
dc.title.translatedStochastic dominance portfolio efficiency measuresen_US
dc.identifier.aleph001001409
thesis.degree.nameRNDr.
thesis.degree.levelrigorózní řízenícs_CZ
thesis.degree.disciplinePravděpodobnost, matematická statistika a ekonometriecs_CZ
thesis.degree.disciplineProbability, mathematical statistics and econometricsen_US
thesis.degree.programMatematikacs_CZ
thesis.degree.programMathematicsen_US
uk.faculty-name.csMatematicko-fyzikální fakultacs_CZ
uk.faculty-name.enFaculty of Mathematics and Physicsen_US
uk.faculty-abbr.csMFFcs_CZ
uk.degree-discipline.csPravděpodobnost, matematická statistika a ekonometriecs_CZ
uk.degree-discipline.enProbability, mathematical statistics and econometricsen_US
uk.degree-program.csMatematikacs_CZ
uk.degree-program.enMathematicsen_US
thesis.grade.csProspělcs_CZ
thesis.grade.enPassen_US
uk.abstract.enIn 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.en_US
uk.publication.placePrahacs_CZ
uk.grantorUniverzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistikycs_CZ


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