scientific article

zbMath1193.91140MaRDI QIDQ3585648

Miloš Kopa

Publication date: 20 August 2010

Full work available at URL: https://eudml.org/doc/196506

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stabilitystochastic dominanceSSD portfolio efficiency measure

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (5)

On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ Robustness in stochastic programs with risk constraints ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Robustness in SSD portfolio efficiency testing

Cites Work

• Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
• Portfolio construction based on stochastic dominance and target return distributions
• Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
• New Formulations for Optimization under Stochastic Dominance Constraints
• Optimization with Stochastic Dominance Constraints
• Dual Stochastic Dominance and Related Mean-Risk Models
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
• Stochastic Dominance
• Frontiers of Stochastically Nondominated Portfolios
• The Efficiency Analysis of Choices Involving Risk
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