Gains from diversification on convex combinations: a majorization and stochastic dominance approach
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Publication:1044121
DOI10.1016/J.EJOR.2009.01.007zbMATH Open1177.90340OpenAlexW2126443526MaRDI QIDQ1044121FDOQ1044121
Authors: Wing-Keung Wong, Martín Egozcue 
Publication date: 10 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.007
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Cited In (10)
- Multivariate stochastic dominance for risk averters and risk seekers
- Central moments, stochastic dominance, moment rule, and diversification with an application
- Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
- Mean-risk analysis with enhanced behavioral content
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
- The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test
- Test statistics for prospect and Markowitz stochastic dominances with applications
- Portfolio diversification based on stochastic dominance under incomplete probability information
- Segregation and integration: a study of the behaviors of investors with extended value functions
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