Download or read book Comparing Mean Variance Tests with Stochastic Dominance Tests when Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comparing Mean Variance Tests with Stochastic Dominance When Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dominance has been shown to be theoretically superior to mean variance (MV) analysis because it considers the entire return distribution and is based on minimally-restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally-based assets to a wholly-domestic portfolio generates diversification benefits. In contrast to previous MV findings, a New Zealand-only portfolio stochastically dominates four internationally-diversified portfolios across all periods considered. Similarly, the least internationally-diversified portfolio persistently dominates more diversified counterparts. Within-portfolio analysis supports the fundamental precept of finance theory showing that in the Asian Crisis period, the least risky/lowest return weighting schemes dominate those with a greater risk or higher return characteristic.

Download or read book Green Investing written by Gagari Chakrabarti and published by Springer. This book was released on 2014-08-28 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book seeks to answer the essential question of the investment-worthiness of green instruments. It is evident that investing in green and energy-efficient firms will be the most profitable choice for wise investors in the years to come. The reconciliation of the social choice for green technology and investors’ choice for gray technology will be automatically achieved once green firms become more profitable than gray ones, in the Indian context. As there has been very little research done in this area, especially in the Indian context, this book addresses that gap. In order to do so, it follows the development of five different portfolios consisting of 100% green, 75% green-25% gray, 50% green-50% gray, 25% green-75% gray and 100% gray stocks, and attempts to answer questions such as: Do green portfolios entail less relative own-risk as compared to their gray counterparts? How effectively do green portfolios avoid market risk? Are green portfolios inherently more stable? Do green portfolios have a higher probability of surviving a financial crisis? Is the performance of green portfolios backed by their fundamentals? Is there any particular technical trading strategy that can ensure a consistently above-average return from these portfolios?

Download or read book Biosecurity Surveillance written by Frith Jarrad and published by CABI. This book was released on 2015-03-13 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a source of information on practical and innovative approaches to biosecurity surveillance. It explains the foundation and concepts behind surveillance design, with examples of methods and tools created to deal with surveillance challenges. With supporting case studies and including current directions in research, it covers evidence-based approaches to surveillance, statistics, detectability, single and multi-species detection, risk assessment, diagnostics, data-basing, modelling of invasion and spread, optimisation, and future climate challenges.

Download or read book Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio written by Thierry Post and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop empirical tests for stochastic dominance efficiency of a given investment portfolio relative to all possible portfolios formed from a set of assets. Our tests use multivariate statistical methods, which results in good statistical power properties and increases the comparability with existing mean-variance tests. Using our tests, we demonstrate that the mean-variance inefficiency of the CRSP all-share index relative to beta-sorted portfolios can be explained by tail risk not captured by variance.

Download or read book Covid 19 Pandemic And Energy Markets Commodity Markets Cryptocurrencies And Electricity Consumption Under The Covid 19 written by Khaled Guesmi and published by World Scientific. This book was released on 2021-09-15 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World Health Organization confirmed COVID-19 a pandemic on March 11, 2020, causing vast impact on international economy. The coronavirus pandemic has given rise to an unprecedented global health and economic crises. Apart from the toll of early deaths, economic activities have been stalled and stock markets have tumbled, while a wide range of energy markets — including oil, gas and renewable energy — have been severely affected. This crisis The pandemic has stressed the critical value of the health care infrastructure and electricity infrastructure. In view of the above, while governments and policy makers respond to these interlinked crises, they must not lose sight of a major challenge of our time: clean energy transitions.The pandemic has continued to to slow down the recovery of economic activities and consumption due to combination of many factors such as economic recession, expensive storage, warm climate, and enormous uncertainty. Mitigation and adaptation policies are crucial to overcoming the crisis. The commodity futures market will depend on the effectiveness of decision-makers' policies in containing the COVID-19 outbreak and reducing the negative effect of the pandemic on economic activities. This book seeks to throw light on the adverse effects of COVID-19 through enhanced scientific and multi-disciplinary knowledge. The chapters in the book show that the energy, stock, crypto-currencies markets are vulnerable to the surge in coronavirus deaths.

Download or read book Advances in the use of stochastic dominance in asset pricing written by Philippe Johannes Petrus Marie Versijp and published by Rozenberg Publishers. This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation (as well as other choice problems under uncertainty that involve diversification possibilities). An empirical application for US stock market data illustrates our approach.

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1972 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Vs Mean variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1970 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Note on the Comparison of Stochastic Dominance and Mean variance Portfolio Choice Criteria written by Stylianos Perrakis and published by Faculty of Management Sciences, University of Ottawa. This book was released on 1975 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance in Case of Portfolio Diversification Linear programming Tests written by Thierry Post and published by . This book was released on 2001 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comprehensive Empirical Comparison of Stochastic Dominance and Mean variance Portfolio Models written by R. Burr Porter and published by . This book was released on 1971 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comparative Study of Mean risk Tests for Stochastic Dominance written by Gregory J. Stock and published by . This book was released on 2007 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Recent Applications of Financial Risk Modelling and Portfolio Management written by Škrinjari?, Tihana and published by IGI Global. This book was released on 2020-09-25 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.

Download or read book Testing for Third Order Stochastic Dominance with Diversification Possibilities written by Thierry Post and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an empirical test for third-order stochastic dominance that allows fordiversification between choice alternatives. The test can be computed usingstraightforward linear programming. Bootstrapping techniques and asymptoticdistribution theory can approximate the sampling properties of the test results and allowfor statistical inference. Our approach is illustrated using real-life US stock market data.