Robustness of optimal portfolios under risk and stochastic dominance constraints (Q2514714)
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scientific article; zbMATH DE number 6395712
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| English | Robustness of optimal portfolios under risk and stochastic dominance constraints |
scientific article; zbMATH DE number 6395712 |
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Robustness of optimal portfolios under risk and stochastic dominance constraints (English)
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3 February 2015
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robustness
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sensitivity analysis
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Markowitz mean-variance model
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probabilistic risk constraints
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contamination technique
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first order stochastic dominance constraints
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portfolio efficiency tests
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0.8275179266929626
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0.8097419738769531
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0.7909894585609436
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0.7790350914001465
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