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National Repository of Grey Literature 22 records found  beginprevious21 - 22  jump to record: Search took 0.00 seconds. 
Investment problems with stochastic dominance constraints
 Dorová, Bianka ; Kopa, Miloš (advisor) ; Kozmík, Václav (referee)
This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basic knowledge from the area of portfolio optimization with utility functions and first, second, $N$-th and infinite order of stochastic dominance. It sumarizes Post's, Kuosmanen's and Kopa's criteria for portfolio efficiency and necessary and sufficient conditions of stochastic dominance for discrete and continuous probability distributions. The thesis also contains formulations of optimization problems with second order stochastic dominance constraints derived for discrete and continuous probability distributions. A practical application is also a part of the thesis, where the optimization problems for monthly returns of Czech stocks are solved using optimization software GAMS.
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Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison
 Branda, Martin
We propose efficiency tests which are related to the third-degree stochastic dominance (TSD). The tests are based on necessary conditions for TSD and on related mean-risk models. We test pairwise efficiency as well as portfolio efficiency with respect to full diversification of available assets.
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National Repository of Grey Literature : 22 records found   beginprevious21 - 22  jump to record:
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