Almost stochastic dominance and stocks for the long run

DOI10.1016/J.EJOR.2007.12.017zbMath1158.91384OpenAlexW1974408009MaRDI QIDQ953451

Moshe Levy

Publication date: 20 November 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.017

zbMATH Keywords

stochastic dominanceasset allocationinvestment horizon

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (12)

STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS ⋮ Nonmonotonic risk preferences over lottery comparison ⋮ Partial stochastic dominance via optimal transport ⋮ Almost Stochastic Dominance for Most Risk-Averse Decision Makers ⋮ Tractable almost stochastic dominance ⋮ Bivariate almost stochastic dominance ⋮ A note on almost stochastic dominance ⋮ Stocks for the log-run and constant relative risk aversion preferences ⋮ Operational asymptotic stochastic dominance ⋮ Economically relevant preferences for all observed epsilon ⋮ Robustness of optimal portfolios under risk and stochastic dominance constraints ⋮ An inter-temporal CAPM based on first order stochastic dominance

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