MEASURING OF SECOND-ORDER STOCHASTIC DOMINANCE PORTFOLIO EFFICIENCY

作者：Kopa Milos^*

来源：Kybernetika, 2010, 46(3): 488-500.

• stochastic dominance
• stability
• SSD portfolio efficiency measure

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 delta-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and delta-SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new SSD and delta-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 delta-SSD efficient or SSD efficient portfolios. Finally, using historical US stock market data, we compute delta-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios.

• 出版日期2010