Displaying similar documents to “Measuring of second–order stochastic dominance portfolio efficiency”

Multistage risk premiums in portfolio optimization

Miloš Kopa, Barbora Petrová (2017)

Kybernetika

Similarity:

This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller...

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Łukasz Delong (2012)

Applicationes Mathematicae

Similarity:

We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which...

An asset – liability management stochastic program of a leasing company

Tomáš Rusý, Miloš Kopa (2018)

Kybernetika

Similarity:

We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which...

Thin and heavy tails in stochastic programming

Vlasta Kaňková, Michal Houda (2015)

Kybernetika

Similarity:

Optimization problems depending on a probability measure correspond to many applications. These problems can be static (single-stage), dynamic with finite (multi-stage) or infinite horizon, single- or multi-objective. It is necessary to have complete knowledge of the “underlying” probability measure if we are to solve the above-mentioned problems with precision. However this assumption is very rarely fulfilled (in applications) and consequently, problems have to be solved mostly on the...

A second-order stochastic dominance portfolio efficiency measure

Miloš Kopa, Petr Chovanec (2008)

Kybernetika

Similarity:

In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post [Post] and Kuosmanen [Kuosmanen], our test detects a dominating portfolio which is SSD efficient. We derive also a necessary condition...

Risk objectives in two-stage stochastic programming models

Jitka Dupačová (2008)

Kybernetika

Similarity:

In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn...