Measuring of second-order stochastic dominance portfolio efficiency
نویسنده
چکیده
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 δ-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and δ-SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new SSD and δ-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 δ-SSD efficient or SSD efficient portfolios. Finally, using historical US stock market data, we compute δ-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios.
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ورودعنوان ژورنال:
- Kybernetika
دوره 46 شماره
صفحات -
تاریخ انتشار 2010