Pregled bibliografske jedinice broj: 836011
Stochastic dominace criteria for investment decision making – empirical evidence from Zagreb Stock Exchange
Stochastic dominace criteria for investment decision making – empirical evidence from Zagreb Stock Exchange // Proceedings of 1st International Conference on Financial Analysis / Dedi, Lidija ; Orsag, Silvije (ur.).
Dubrovnik, Hrvatska: Croatian Association of Financial Analysts ; University of Zagreb, Faculty of Economics & Business, 2016. str. 70-78 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 836011 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Stochastic dominace criteria for investment decision making – empirical evidence from Zagreb Stock Exchange
Autori
Gardijan, Margareta
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of 1st International Conference on Financial Analysis
/ Dedi, Lidija ; Orsag, Silvije - : Croatian Association of Financial Analysts ; University of Zagreb, Faculty of Economics & Business, 2016, 70-78
Skup
1st International Conference on Financial Analysis
Mjesto i datum
Dubrovnik, Hrvatska, 01.06.2016. - 03.06.2016
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
efficient portfolio; stochastic dominance; investment strategy
Sažetak
The paper uses stochastic dominance criteria for evaluating ex-post efficiency of portfolios. Stochastic dominance (SD) is believed to be one of the most flexible methodologies for the comparison and ranking of risky alternatives since it considers all moments of the empirical return distributions of risky alternatives and uses just some general assumptions about the decision makers’ preferences. Criteria use statistics and expected utility theory to identify efficient alternatives that are not stochastically dominated by any other alternatives in terms of expected utility for all decision makers with same preferences. Although computationally intensive, SD is significantly less rigorous in assumptions compared to MV approach. Using the data from the Zagreb Stock Exchange, the paper examines stochastic dominance of portfolios created by implementing an investment strategy based on Data Envelopment. Here stochastic dominance criteria are used for finding efficient portfolios which cannot be ranked by MV criteria for all investors that are insatiable, risk averse and prefer positive skewness.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
