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Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets

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  • Miloš Kopa
  • Tomáš Tichý

Abstract

In 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.

Suggested Citation

  • Miloš Kopa & Tomáš Tichý, 2014. "Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 226-240, January.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:1:p:226-240
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    Cited by:

    1. repec:prg:jnlpep:v:preprint:id:649:p:1-27 is not listed on IDEAS
    2. Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 3-16.

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