Robustness in SSD portfolio efficiency testing

Miloš Kopa ()
Additional contact information
Miloš Kopa: Charles University in Prague

A chapter in Operations Research Proceedings 2011, 2012, pp 527-532 from Springer

Abstract: Abstract This paper deals with portfolio efficiency testing with respect to secondorder stochastic dominance (SSD) criterion. These tests classify a given portfolio as efficient or inefficient and give some additional information for possible improvements. Unfortunately, these tests usually assumes discrete probability distribution of returns with equiprobable scenarios. Moreover, they can be very sensitive to the probability distribution. Therefore, [1] derived a SSD portfolio efficiency test for a general discrete distribution and its robust version allowing for changes in probabilities of the scenarios. However, these formulations are not suitable for numerical computations. Therefore, in this paper, the numerically tractable reformulations of these SSD efficiency tests are derived.

Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_84

Ordering information: This item can be ordered from
http://www.springer.com/9783642292101

DOI: 10.1007/978-3-642-29210-1_84

Access Statistics for this chapter

More chapters in Operations Research Proceedings from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().