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Bibliografie

Conference Paper (international conference)

Value at Risk application to FSD portfolio efficiency testing

Kopa Miloš

: Proceedings of Managing and Modelling of Financial Risks 2012, p. 320-325

: Managing and modeling of financial risks 2012, (Ostrava, CZ, 10.09.2012-11.09.2012)

: GBP402/12/G097, GA ČR

: Value at Risk, first order stochastic dominance, portfolio efficiency

: http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf

(eng): The paper deals with efficiency testing of a given portfolio with respect to all other portfolios that can be created from the considered set of assets. The efficiency is based on the first order stochastic dominance (FSD) relation. A necessary and sufficient condition for the first order stochastic dominance criterion is expressed in terms of Value at Risks (VaRs). Consequently a FSD portfolio efficiency test based on VaRs is formulated. Contrary to the usual case, a general discrete distribution of portfolio returns is assumed what makes the test computationally more demanding comparing to the equiprobable scenarios case. Therefore we present a tractable reformulation of this test that turns constraints on VaRs into classical mixed-integer nonlinear programming problem.

: BB

07.01.2019 - 08:39