A simple SSD-efficiency test (Q476280): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	A simple SSD-efficiency test	scientific article

Statements

scholarly article

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A simple SSD-efficiency test (English)

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Optimization Letters

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publication date

28 November 2014

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zbMATH Keywords

stochastic dominance

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portfolio analysis

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linear programming

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11590-013-0720-8

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Optimization with Stochastic Dominance Constraints

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Processing second-order stochastic dominance models using cutting-plane representations

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Stochastic finance. An introduction in discrete time

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Inverse portfolio problem with mean-deviation model

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A general test for SSD portfolio efficiency

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Stochastic Dominance and Expected Utility: Survey and Analysis

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New Formulations for Optimization under Stochastic Dominance Constraints

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A Remark on Third Degree Stochastic Dominance

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On the dual test for SSD efficiency With an application to momentum investment strategies

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General linear formulations of stochastic dominance criteria

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The Dual Theory of Choice under Risk

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Identifiers

zbMATH Open document ID

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10.1007/s11590-013-0720-8

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:476280

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