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Concordance measures and second order stochastic dominance-portfolio efficiency analysis

Journal Article

Kopa Miloš, Tichý T.

serial: E+M. Ekonomie a management vol.15, 4 (2012), p. 110-120

project(s): GBP402/12/G097, GA ČR

keywords: dependency, concordance, portfolio selection, second order stochastic dominance

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abstract (eng):

Portfolio selection problem is one of the most important issues within financial risk management and decision making. It concerns both, financial institutions and their regulator/supervisor bodies. A crucial input factor, when the admissible or even optimal portfolio is detected, is the measure of dependency. Although there exists a wide range of dependency measures, a standard assumption is that the (joint) distribution of large portfolios is multivariate normal and that the dependency can be described well by a linear measure of correlation -- the Pearson coefficient of correlation is therefore usually utilized. A very challenging question in this context is whether there is some impact of alternative dependency/concordance measures on the efficiency of optimal portfolios. Therefore, the alternative ways of portfolio comparisons were developed, among them a stochastic dominance approach is one of the most popular one.


bocek: 21.12.2012 - 16:10