Evaluating the Efficiency of Portfolio-Hedging Strategies by Incorporating Third Degree Stochastic Dominance Criteria and Data Envelopment Analysis (CROSBI ID 67506)
Prilog u knjizi | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Gardijan Kedžo, Margareta
engleski
Evaluating the Efficiency of Portfolio-Hedging Strategies by Incorporating Third Degree Stochastic Dominance Criteria and Data Envelopment Analysis
The chapter investigates chosen hedging strategies with options as useful risk hedging instruments. Assuming that average investor prefers greater return, is risk-averse, and prefers greater positive skewness, the performance of different hedged and unhedged portfolios is evaluated using stochastic dominance (SD) criteria and data envelopment analysis (DEA). The SD is examined up to the third degree (TSD) using Davidson-Duclos (DD) test. In the DEA, a super efficiency BCC model is used. It is investigated how these two methodologies can be combined and how the TSD criteria can be integrated into DEA in order to simplify the analysis of determining efficient hedging strategies with options.
Portfolio Hedging ; Options ; Hedging Strategies ; Stochastic Dominance ; Data Envelopment Analysis ; Risk Management ; Efficiency ; Expected Utility ; Decision Making Under Uncertainty
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Podaci o prilogu
22-46.
objavljeno
10.4018/978-1-7998-5083-0.ch002
Podaci o knjizi
Recent Applications of Financial Risk Modelling and Portfolio Management
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan
Hershey (PA): IGI Global
2021.
9781799850847
2327-5677