Tata Institute of Fundamental Research
Stochastic Dominance (SD) and its Application to Enhanced Indexation
STCS Student Seminar
Speaker:
Shubhada Agrawal (School of Technology and Computer Science
Tata Institute of Fundamental Research
Homi Bhabha Road, Navy Nagar
Mumbai 400005)
Organiser:
Varun Narayanan
Date:
Friday, 12 May 2017, 17:15 to 18:15
Venue:
A-201 (STCS Seminar Room)
(Scan to add to calendar)
Abstract:
An individual is faced with several options while deciding to invest in a financial market. Some opportunities giving higher returns but carrying more risk while some being less risky and give lower returns. Each individual needs to rank the investment opportunities according to his preference. Stochastic Dominance (SD) is a method for ranking the random variables. In particular, second-order stochastic dominance (SSD) is related to the risk-averse investor preferences. In this talk, I will introduce the concept of SD. We will also look into an application of SSD (for a risk-averse investor) to construct a portfolio that generates higher returns as compared to the reference index.
| Speaker: | Shubhada Agrawal (School of Technology and Computer Science Tata Institute of Fundamental Research Homi Bhabha Road, Navy Nagar Mumbai 400005) |
| Organiser: | Varun Narayanan |
| Date: | Friday, 12 May 2017, 17:15 to 18:15 |
| Venue: | A-201 (STCS Seminar Room) |
(Scan to add to calendar)
Abstract:
An individual is faced with several options while deciding to invest in a financial market. Some opportunities giving higher returns but carrying more risk while some being less risky and give lower returns. Each individual needs to rank the investment opportunities according to his preference. Stochastic Dominance (SD) is a method for ranking the random variables. In particular, second-order stochastic dominance (SSD) is related to the risk-averse investor preferences. In this talk, I will introduce the concept of SD. We will also look into an application of SSD (for a risk-averse investor) to construct a portfolio that generates higher returns as compared to the reference index.