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Stochastic Dominance On Ftse Index

Author

Listed:
  • IOAN-ALIN NISTOR

    (Babes-Bolyai University, Cluj-Napoca, Romania)

  • MARIA-LENUTA CIUPAC-ULICI

    (IPAG Business School Paris, France & Commercial Academy Satu Mare, Romania)

  • MIRCEA-CRISTIAN GHERMAN

    (Technical University of Cluj-Napoca, Romania)

  • DANIELA-GEORGETA BEJU

    (Babes-Bolyai University, Cluj-Napoca, Romania)

Abstract

Stochastic dominance is a method that refers to a set of relations, which may hold between a specific pair of distributions. However, the concept can be applied in many domains, but in particular in financial economic areas, where the considered distributions are usually those of random returns to different financial assets. The aim of this paper is to provide an implementation of a stochastic dominance algorithm that establish which of more risky indices is preferred more by investors who have an aversive risk profile. The study is performed on FTSE indices. The focus is to emphasis the imbalance between FTSE regional indices and FTSE sectorial indices. The analyzed period for regional indices is April 3, 2000 –September 12, 2014. As regards the sector indices, the analyzed period is January 3, 1994 – September 12, 2014.Its relevance consist in that, it offers a different perspective for investors when choosing between different financial assets. This approach together with Meyer algorithm has been proved that it is a useful tool in risk aversion analysis.

Suggested Citation

  • Ioan-Alin Nistor & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman & Daniela-Georgeta Beju, 2019. "Stochastic Dominance On Ftse Index," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    • Handle: RePEc:bbn:journl:2019_4_1_nistor
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    File URL: https://tbs.ubbcluj.ro/RePEc/bbn/journl/Negotia_4_2019.pdf
    File Function: Revised version, 2019
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    More about this item

    Keywords

    stochastic dominance; utility function; FTSE index;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D9 - Microeconomics - - Micro-Based Behavioral Economics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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