Title
A generalized approach to stochastic dominance: theory and financial applications
Code
GA20-16764S
Summary
Drawing inspiration from the concept of almost stochastic dominance, we aim at studying families of stochastic orders that are able to capture the preferences of investors who have an “almost” delineated attitude toward risk, covering preferences from the first order stochastic dominance to the second, and beyond. Moreover, we plan to focus on parametric families of distribution, which may be especially suitable to model financial data, and derive dominance conditions with respect to their parameters. Such parametric approach can be also extended to an inferential framework, in order to test dominance relations between a pair of empirical distributions. Finally, we aim at applying the developed methodologies to portfolio selection problem.
Start year
2020
End year
2022
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Standardní projekty
Solver
Information system of research, development and innovation (in Czech)