A simple SSD-efficiency test

DOI10.1007/S11590-013-0720-8MaRDI QIDQ476280zbMATH OpenOpenAlexFDO

Authors Bogdan Grechuk

Publication date 28 November 2014

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-013-0720-8

zbMATH Keywords

linear programmingstochastic dominanceportfolio analysis

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3084669 (Why is no real title available?)
• A Remark on Third Degree Stochastic Dominance
• A general test for SSD portfolio efficiency
• A second-order stochastic dominance portfolio efficiency measure
• General linear formulations of stochastic dominance criteria
• Inverse portfolio problem with mean-deviation model
• New Formulations for Optimization under Stochastic Dominance Constraints
• On the dual test for SSD efficiency With an application to momentum investment strategies
• Optimization with Stochastic Dominance Constraints
• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Stochastic finance. An introduction in discrete time
• The Dual Theory of Choice under Risk

Cited in

(4)

• Two-stage optimization problems with multivariate stochastic order constraints
• A general test for SSD portfolio efficiency
• Inverse portfolio problem with coherent risk measures
• Robustness in SSD portfolio efficiency testing

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