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Robustness and bootstrap approaches to SSD portfolio efficiency testing

Publikace na Matematicko-fyzikální fakulta |
2012

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

This paper deals with portfolio efficiency testing with respect to second-order stochastic dominance (SSD) criteria. Unlike the pair-wise tests the portfolio efficiency tests allow for full diversication across the assets.

As usual in SSD testing, the returns of assets are modeled by scenarios. We apply a computationally attractive method to test whether a US market portfolio, proxied by CRSP all share index, is SSD efficient with respect to 48 US industry representative portfolios.

Moreover, we present a robust version of SSD portfolio eciency test that allows for small errors in data and we analyze their impact on the market portfolio SSD efficiency. We enrich the results by the estimation of p-value of market portfolio SSD efficiency when the bootstrap technique to the data is applied.