Analisis Portofolio Optimum Saham Syariah Menggunakan Stochastic Dominance
نویسندگان
چکیده
منابع مشابه
Stochastic Dominance
The concept of Stochastic Dominance (SD) appeared in Economics in the context of the study of income distribution, where it provided various criteria for ranking income distributions according to classes of social welfare functions. Although stochastic dominance is still much in use for studies of income distribution and of poverty, more recently it has also found uses in financial economics, w...
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We propose a new stochastic dominance (SD) criterion based on Kimball’s (1993) notion of standard risk aversion, which assumes decreasing absolute risk aversion (DARA) and decreasing absolute prudence (DAP). To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a discrete or polyhedral choice set in a general state-space model. ...
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In this paper, we study the dominance relation under a stochastic setting. Let S be a set of n coloredstochastic points in R, each of which is associated with an existence probability. We investigate theproblem of computing the probability that a realization of S contains inter-color dominances, whichwe call the colored stochastic dominance (CSD) problem. We propose the first algori...
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ژورنال
عنوان ژورنال: Jurnal Fourier
سال: 2015
ISSN: 2541-5239,2252-763X
DOI: 10.14421/fourier.2015.41.17-29