Stochastická dominance generovaná klesající rizikovou averzí
| Thesis title in Czech: | Stochastická dominance generovaná klesající rizikovou averzí |
|---|---|
| Thesis title in English: | Stochastic dominance generated by a decreasing absolute risk aversion |
| Key words: | Stochastická dominance, klesající riziková averze, eficience portfolia |
| English key words: | stochastic dominance, decreasing risk aversion, portfolio eficiency |
| Academic year of topic announcement: | 2015/2016 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Ing. Miloš Kopa, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 23.10.2015 |
| Date of assignment: | 24.10.2015 |
| Confirmed by Study dept. on: | 24.11.2015 |
| Date and time of defence: | 28.06.2016 00:00 |
| Date of electronic submission: | 26.05.2016 |
| Date of submission of printed version: | 27.05.2016 |
| Date of proceeded defence: | 28.06.2016 |
| Opponents: | doc. RNDr. Petr Lachout, CSc. |
| Guidelines |
| Student se seznámí se základy relace stochastické dominance prvního a druhého řádu. Pak se soustředí na stochastickou dominanci generovanou užitkovými funkcemi s klesající absolutní rizikovou averzí. Bude se věnovat nutným a postačujícím podmínkám této relace. Na reálných datech porovná tento typ stochastické dominance se zavedenými relacemi stochastické dominance prvního a druhého řádu. |
| References |
| Levy, H., Stochastic Dominance: Investment decision making under uncertainty, Springer, New York, 2006.
Post, T., Fang, Y., Kopa M.: Linear Tests for DARA Stochastic Dominance, Management Science, 2014. Vickson, R. G., (1975): Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables, Management Science 21, 1438-1446. Vickson, R.G., (1975): Stochastic dominance for decreasing absolute risk aversion, Journal of Financial and Quantitative Analysis 10, 799-811. Vickson, R. G., (1977): Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. II. General random Variables, Management Science 23: 478-489. Vickson, R. G. and M. Altmann, (1977): On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions, Journal of Financial and Quantitative Analysis 12(1), 73-84. |