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- W2793953133 abstract "Portfolio selection problem is one of the most important issues within financial risk managementand decision making. It concerns both, financial institutions and their regulator/supervisor bodies.Acrucial input factor, when the admissible or even optimal portfolio is detected, is the measure ofdependency. Although there exists a wide range of dependency measures, a standard assumptionis that the (joint) distribution of large portfolios is multivariate normal and that the dependency canbe described well by a linear measure of correlation – the Pearson coefficient of correlation istherefore usually utilized. A very challenging question in this context is whether there is someimpact of alternative dependency/concordance measures on the efficiency of optimal portfolios.Therefore, the alternative ways of portfolio comparisons were developed, among them a stochasticdominance approach is one of the most popular one. In particular, the definition of second-orderstochastic dominance (SSD) relation uses comparisons of either twice cumulative distributionfunctions or expected utilities. Alternatively, one can define SSD relation using cumulative quantilefunctions or conditional value at risk. The task of this paper is therefore to examine and analyzethe SSD efficiency of min-var portfolios that are selected on the basis of alternative concordancematrices set up on the basis of either Spearman rho or Kendall tau. In order to carry out theanalysis the real data of FX rate returns over 2007 and 2008 are used. It is documented thatalthough all portfolios considered were SSD inefficient especially a portfolio based on Kendallmeasure is very poor (at least in terms of SSD efficiency). Moreover, the inefficiency during thecrisis year 2008 was much lower than during one year earlier." @default.
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- W2793953133 date "2012-01-01" @default.
- W2793953133 modified "2023-09-23" @default.
- W2793953133 title "Concordance measures and second order stochastic dominance - portfolio efficiency analysis" @default.
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