Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements

DOI10.1007/S10479-012-1123-4zbMATH Open1259.91079OpenAlexW2025638995MaRDI QIDQ1761828FDOQ1761828

Andrey Lizyayev

Publication date: 15 November 2012

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/10084.pdf

zbMATH Keywords

algorithmsstochastic dominanceportfolio efficiency

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
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• The Construction of Utility Functions from Expenditure Data
• On the dual test for SSD efficiency With an application to momentum investment strategies
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• Relaxations of linear programming problems with first order stochastic dominance constraints
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• Inverse stochastic dominance constraints and rank dependent expected utility theory
• Portfolio Efficient Sets
• Frontiers of Stochastically Nondominated Portfolios
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• Research Bibliography—Stochastic Dominance: A Research Bibliography
• Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
• Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables
• Efficient Algorithms for Stochastic Dominance Tests Based on Financial Market Data
• Stochastic Dominance Tests for Decreasing Absolute Risk-Aversion II: General Random Variables

Cited In (10)

• 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
• On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
• Bivariate almost stochastic dominance
• Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
• General linear formulations of stochastic dominance criteria
• STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS

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