Stability of the stochastic dominance in time series analysis

• Autorzy: Grażyna Trzpiot , Kazimierz Zaraś
• Języki publikacji: EN

Abstrakty

EN

While stochastic dominance has been employed, it has been developed and extensively employed in the area of economics, finance and operation research. In this study the first, second and third order stochastic dominance rules are discussed with an emphasis on the development in the area of financial issues. The paper reviews the stochastic dominance and deals with the effectiveness of the various stochastic dominance rules in portfolio selection. Second part of the paper deals with outranking relations based on stochastic dominance without distinction between the prevailing types of dominance. In the suggested approach that a decision-maker's preference between two alternatives determined by his perception of the probabilities. This perception depends on the level of overlapping of the compared distribution and is expressed by degree of preference as measured from three functions connected with the prevailing type of dominance. The degrees of preference are the aggregated to build an overall preference relation between each pair of alternatives. In the finance this problem arise with stock selection when we need to compare return distribution. The main question, in times series analysis, is the question of how valued are our analysis for the future. Empirical study of the stability of stochastic dominance is the last part of this paper. (fragment of text)

Słowa kluczowe

EN

Stochastic processes; Stochastic analysis; Stochastic dominance

PL

Procesy stochastyczne; Analiza stochastyczna; Dominacja stochastyczna

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 1998
• Tom: Modelowanie preferencji a ryzyko '98
• Strony: 369--381

Twórcy

autor

Grażyna Trzpiot

• The Karol Adamiecki University of Economics in Katowice, Poland

autor

Kazimierz Zaraś

• Université du Québec UQAT

Bibliografia

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