Pregled bibliografske jedinice broj: 1082551
Evaluating the Efficiency of Portfolio-Hedging Strategies by Incorporating Third Degree Stochastic Dominance Criteria and Data Envelopment Analysis
Evaluating the Efficiency of Portfolio-Hedging Strategies by Incorporating Third Degree Stochastic Dominance Criteria and Data Envelopment Analysis // Recent Applications of Financial Risk Modelling and Portfolio Management / Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan (ur.).
Hershey (PA): IGI Global, 2021. str. 22-46 doi:10.4018/978-1-7998-5083-0.ch002
CROSBI ID: 1082551 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Evaluating the Efficiency of Portfolio-Hedging
Strategies by Incorporating Third Degree
Stochastic Dominance Criteria and Data
Envelopment Analysis
Autori
Gardijan Kedžo, Margareta
Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni
Knjiga
Recent Applications of Financial Risk Modelling and Portfolio Management
Urednik/ci
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan
Izdavač
IGI Global
Grad
Hershey (PA)
Godina
2021
Raspon stranica
22-46
ISBN
9781799850847
Ključne riječi
Portfolio Hedging ; Options ; Hedging Strategies ; Stochastic Dominance ; Data Envelopment Analysis ; Risk Management ; Efficiency ; Expected Utility ; Decision Making Under Uncertainty
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
