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dc.contributor.authorKopa, Miloš
dc.contributor.authorTichý, Tomáš
dc.date.accessioned2014-12-09T12:51:26Z
dc.date.available2014-12-09T12:51:26Z
dc.date.issued2014
dc.identifier.citationEmerging Markets Finance and Trade. 2014, vol. 50, issue 1, p. 226-240.cs
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.urihttp://hdl.handle.net/10084/106214
dc.description.abstractIn order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U.S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented.cs
dc.language.isoencs
dc.publisherM.E. Shaprpecs
dc.relation.ispartofseriesEmerging Markets Finance and Tradecs
dc.relation.urihttp://dx.doi.org/10.2753/REE1540-496X500113cs
dc.rights© 2014 M.E. Sharpe, Inc.
dc.titleComparison of mean-risk efficient portfolios in Asia-Pacific capital marketscs
dc.typearticlecs
dc.identifier.doi10.2753/REE1540-496X500113
dc.type.statusPeer-reviewedcs
dc.description.sourceWeb of Sciencecs
dc.description.volume50cs
dc.description.issue1cs
dc.description.lastpage240cs
dc.description.firstpage226cs
dc.identifier.wos000338935500014


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