Publication at Faculty of Mathematics and Physics |
2010
Abstract
This paper deals with stochastic dominance (SD) relations and its presence in fi nancial data. The most popular is the first-order and the second-order stochastic dominance.
In this paper, we choose almost 250 000 pairs of portfolios and we observe the incidence of the mean-variance relation and SD relations for diff erent orders of SD (fi rst, second, third, fourth, infi nite). Moreover, we consider two data sets, the first one contains the returns of stock market indexes before crisis, while the second one during crisis.
We compare the results for pre-crisis data with that for during crisis.