Page 1

Displaying 1 – 9 of 9

Showing per page

Measuring of second–order stochastic dominance portfolio efficiency

Miloš Kopa (2010)

Kybernetika

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...

Multistage risk premiums in portfolio optimization

Miloš Kopa, Barbora Petrová (2017)

Kybernetika

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 than...

Currently displaying 1 – 9 of 9

Page 1