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Koncept Stohastičke Dominacije U Rangiranju Investicionih Alternativa

Author

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  • Dejan Trifunović

Abstract

Pri rangiranju investicija u uslovima neizvesnosti najčešće se koristi Analiza očekivane vrednosti i varijanse (Mean Variance Analysis). Stohastička dominacija predstavlja alternativni koncept koji rangiranje vrši koristeći celokupnu funkciju rasporeda. Pri tome postoje tri standardna modela: prvostepena stohastička dominacija se koristi ako se funkcije rasporeda ne seku, drugostepena stohastička dominacija se primenjuje ako funkcije rasporeda imaju jedan presek, dok trećestepena doniinacija rešava probletn rangiranja u slučaju dvostrukog preseka. Poseban model predstavlja većinska stohastička dominacija. Konačno, pokazujemo da postojanje arbitražnih mogućnosti implicira postojanje stohastičke dominacije između finansijskih instrumenata, dok obrnuta relacija ne važi.

Suggested Citation

  • Dejan Trifunović, 2005. "Koncept Stohastičke Dominacije U Rangiranju Investicionih Alternativa," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 50(164), pages 135-149, January -.
    • Handle: RePEc:beo:journl:v:50:y:2005:i:164:p:135-149
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