From stochastic dominance to mean-risk models: Semideviations as risk measures

DOI10.1016/S0377-2217(98)00167-2zbMath1007.91513OpenAlexW1968782695WikidataQ93647224 ScholiaQ93647224MaRDI QIDQ1610125

Włodzimierz Ogryczak, Ruszczyński, Andrzej

Publication date: 18 August 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(98)00167-2

zbMATH Keywords

portfolio optimizationstochastic dominancedecisions under riskmean-risk model

Mathematics Subject Classification ID

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Cites Work

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• Computation of mean-semivariance efficient sets by the critical line algorithm
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Stochastic Dominance and Moments of Distributions
• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Stochastic Dominance and Expected Utility: Survey and Analysis
• The Efficiency Analysis of Choices Involving Risk

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