Portfolio selection problems consistent with given preference orderings
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
- Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
- Coherent measures of risk
- Comparison methods for stochastic models and risks
- Continua of stochastic dominance relations for bounded probability distributions
- Continua of stochastic dominance relations for unbounded probability distributions
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 49698 (Why is no real title available?)
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- Mutual fund separation in financial theory - the separating distributions
- On an Extension of the Gini Inequality Index
- Orderings and Probability Functionals Consistent with Preferences
- Prospect theory: much ado about nothing?
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Stochastic orders and risk measures: consistency and bounds
- The methods of distances in the theory of probability and statistics.
Cited in
(16)- The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
- On the impact of conditional expectation estimators in portfolio theory
- Pareto efficient buy and hold investment strategies under order book linked constraints
- An optimization-diversification approach to portfolio selection
- Asymptotic multivariate dominance: a financial application
- Joint stochastic orders of high degrees and their applications in portfolio selections
- Optimal selection of assets and portfolios
- Portfolio selection through an extremality stochastic order
- A note on the portfolio selection problem
- Ordered weighted averaging aggregation method for portfolio selection
- Inverse portfolio problem with coherent risk measures
- Orderings and Probability Functionals Consistent with Preferences
- Orderings and risk probability functionals in portfolio theory
- Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
- A portfolio return definition coherent with the investors' preferences
- Portfolio optimization with asset preselection using data envelopment analysis
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