This study used stochastic dominance tests for ranking alternatives under ambiguity, to build an efficient set of assets for a different class of investors. We propose a two step procedure: first test for multivalued stochastic dominance and next calculate the value of preference relations. The...

In the process of assets selection and their allocation to the investment portfolio the most important factor issue thing is the accurate evaluation of the volatility of the return rate. In order to achieve stable and accurate estimates of parameters for contaminated multivariate normal...

The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels. A key issue in implementing VaR and related risk measures is to obtain...

The widely used risk measures as standard deviations and value at risk do not always reflect risk preferences accurately. To overcome this problem we show coherent risk approach. For making the overview of the problem of risk measure we propose a coherent risk measure approach. We started from...