Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
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Cites work
- scientific article; zbMATH DE number 3014822 (Why is no real title available?)
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- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
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- Frontiers of Stochastically Nondominated Portfolios
- Inequalities: theory of majorization and its applications
- Inverse stochastic dominance constraints and rank dependent expected utility theory
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- Nonparametric Tests of Stochastic Dominance in Income Distributions
- On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
- On consistency of stochastic dominance and mean-semideviation models
- On the dual test for SSD efficiency With an application to momentum investment strategies
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Stochastic Dominance Constraints
- Ordered Families of Distributions
- Portfolio Efficient Sets
- Relaxations of linear programming problems with first order stochastic dominance constraints
- Research Bibliography—Stochastic Dominance: A Research Bibliography
- Risk Aversion in the Small and in the Large
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- Stochastic Dominance
- Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables
- Stochastic Dominance Tests for Decreasing Absolute Risk-Aversion II: General Random Variables
- Stochastic Dominance and Expected Utility: Survey and Analysis
- The Construction of Utility Functions from Expenditure Data
- The Efficiency Analysis of Choices Involving Risk
- The Existence of Probability Measures with Given Marginals
Cited in
(13)- On relations between DEA-risk models and stochastic dominance efficiency tests
- Higher-degree stochastic dominance optimality and efficiency
- Approximating exact expected utility via portfolio efficient frontiers
- A new rank dependent utility approach to model risk averse preferences in portfolio optimization
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Gains from diversification on convex combinations: a majorization and stochastic dominance approach
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Stochastic dominance: convexity and some efficiency tests
- Bivariate almost stochastic dominance
- Portfolio optimization based on stochastic dominance and empirical likelihood
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- General linear formulations of stochastic dominance criteria
- Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches
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