Abstrakt
Mean-risk problems are ones of the most important tools in financial risk management and decision making. They jointly focus on a portfolio mean maximization and a portfolio risk minimization.
A portfolio risk can be expressed using various dependency/concordance measures. In order to analyze the performance of mean-risk portfolios, a stochastic dominance approach can be employed.
In particular, the notion of the second-order stochastic dominance (SSD) is the most popular one. It, is based on comparisons of expected utilities for all concave utility functions.
In this paper, we focus specifically on selected EU stock markets and analyze the SSD efficiency of portfolios on the mean-risk efficient frontier if the risk is represented by standard deviations and concordance matrices set up on the basis of either Pearson linear correlation or Spearman rho or Kendall tau. It is empirically documented which measures and which portfolios from the mean-risk efficiency frontiers should be of interest for at least one risk averse investor under given conditions.