Portfolio construction based on stochastic dominance and target return distributions

DOI10.1007/s10107-006-0722-8zbMath1138.91476OpenAlexW2079858007MaRDI QIDQ2502214

Kenneth Darby-Dowman, Diana Roman, Gautam Mitra

Publication date: 12 September 2006

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-006-0722-8

zbMATH Keywords

risk aversionstochastic dominancereference point methodmulti-criteria optimisationPortfolio selection

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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