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- W2034341963 abstract "In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U.S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented." @default.
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- W2034341963 date "2014-01-01" @default.
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- W2034341963 title "Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets" @default.
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- W2034341963 doi "https://doi.org/10.2753/ree1540-496x500113" @default.
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