Geodesic
Measuring of second–order stochastic dominance portfolio efficiency
Kybernetika, Tome 46 (2010) no. 3, pp. 488-500

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In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a $\delta$-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and $\delta$-SSD portfolio efficiency classification with respect to changes in scenarios of returns. We propose new SSD and $\delta$-SSD portfolio efficiency measures as measures of the stability. We derive a non-linear and mixed-integer non-linear programs for evaluating these measures. Contrary to all existing SSD portfolio inefficiency measures, these new measures allow us to compare any two $\delta$-SSD efficient or SSD efficient portfolios. Finally, using historical US stock market data, we compute $\delta$-SSD and SSD portfolio efficiency measures of several SSD efficient portfolios.
Classification : 60E15, 91B28, 91B30, 91G10
Keywords: stochastic dominance; stability; SSD portfolio efficiency measure 
@article{KYB_2010__46_3_a12,
     author = {Kopa, Milo\v{s}},
     title = {Measuring of second{\textendash}order stochastic dominance portfolio efficiency},
     journal = {Kybernetika},
     pages = {488--500},
     publisher = {mathdoc},
     volume = {46},
     number = {3},
     year = {2010},
     mrnumber = {2676085},
     zbl = {1193.91140},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2010__46_3_a12/}
}
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Kopa, Miloš. Measuring of second–order stochastic dominance portfolio efficiency. Kybernetika, Tome 46 (2010) no. 3, pp. 488-500. http://geodesic.mathdoc.fr/item/KYB_2010__46_3_a12/