dc.contributor.author | Obwocha, Isaac O | |
dc.date.accessioned | 2020-10-27T11:35:37Z | |
dc.date.available | 2020-10-27T11:35:37Z | |
dc.date.issued | 2020 | |
dc.identifier.uri | http://erepository.uonbi.ac.ke/handle/11295/153030 | |
dc.description.abstract | Stochastic dominance relationships between two or more variables is crucial in the
field of actuarial science, econometrics and in studying reliability. This project applies
the Stochastic Dominance (SD) portfolio optimization methods to test the stocks that
would do better during Kenyan electioneering periods. More and more scholars have
shifted their attention to studying stochastic dominance relationships in decision theory.
Some evidences presented by scholars in the area for many years have revealed
that the methodology dominates many other solutions. Many methodologies assume
contemporaneous as well as serial independence (assumption of no independence between
samples and within a sample) which cannot be met by most observations in
application since financial data features time series properties and positive correlation
among observations from various samples. SD uses a distribution-free assumption
framework which makes it suitable in checking dominance relationships between agricultural
and manufacturing stocks. Besides, the SD relationships are based on empirical
distribution differences. The methodology requires non-parametric statistical
estimation as well as inference methods. SD is quite appealing to asset classes as
well as investment strategies that exhibit asymmetric risk profiles. For example, smallcap
stocks and momentum strategies where variance would not adequately measure
investment risk since it makes no distinction between bad risk and good risk. The assumptions
of no arbitrage and tendency of investors to dislike risk are largely supported
by capital market equilibrium models. The project focuses on first degree SD, second
degree SD and third-degree SD tests to check for the stocks that would dominate the
other in the two sectors of the economy during hard economic times brought about by
electioneering periods. | |
dc.language.iso | en | en_US |
dc.publisher | University of Nairobi | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.title | Testing Stochastic Dominance Of Manufacturing Stocks At The NSE Market | en_US |
dc.type | Thesis | en_US |