Gains from diversification on convex combinations: a majorization and stochastic dominance approach
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Cites work
- scientific article; zbMATH DE number 6846220 (Why is no real title available?)
- scientific article; zbMATH DE number 3014822 (Why is no real title available?)
- scientific article; zbMATH DE number 3106184 (Why is no real title available?)
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- A note on convex stochastic dominance
- A note on the portfolio selection problem
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- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Extension of stochastic dominance theory to random variables
- Inequalities: theory of majorization and its applications
- Marginal Conditional Stochastic Dominance
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Necessary conditions for the CAPM
- On the dual test for SSD efficiency With an application to momentum investment strategies
- On the estimation of cost of capital and its reliability
- Portfolio optimization when asset returns have the Gaussian mixture distribution
- Portfolio performance evaluation in a mean--variance--skewness framework
- Preferences over location-scale family
- Prospect and Markowitz stochastic dominance
- Robust estimation in capital asset pricing model
- Stochastic Dominance
- Stochastic Dominance and the Maximization of Expected Utility
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- Stochastic dominance theory for location-scale family
- The Efficiency Analysis of Choices Involving Risk
- The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
- The diversification of currency loans: A comparison between safety-first and mean-variance criteria
- The measurement of opportunity inequality: a cardinality-based approach
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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