Financial analysis based sectoral portfolio optimization under second order stochastic dominance

DOI10.1007/s10479-015-2095-yzbMath1415.91271OpenAlexW2229173642MaRDI QIDQ1699135

Amita Sharma, Aparna Mehra

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-2095-y

zbMATH Keywords

portfolio optimizationsecond order stochastic dominancefinancial ratiosalmost second order stochastic dominancein-sample and out-of-sample analysis

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (5)

Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Benefits of the implementation of supply chain finance ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection

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