Novel approaches for portfolio construction using second order stochastic dominance

DOI10.1007/S10287-017-0274-9zbMATH Open1416.91339OpenAlexW2583959627WikidataQ59614811 ScholiaQ59614811MaRDI QIDQ1789608FDOQ1789608

Authors: Cristiano Arbex Valle, D. Roman, Gautam Mitra 

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0274-9

Recommendations

• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
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zbMATH Keywords

stochastic dominancedownside riskportfolio optimisationreference distributionleft tail

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites Work

• Portfolio construction based on stochastic dominance and target return distributions
• Enhanced indexation based on second-order stochastic dominance
• A Branch-and-Cut Algorithm for the Resolution of Large-Scale Symmetric Traveling Salesman Problems
• Optimization with Stochastic Dominance Constraints
• Dual Stochastic Dominance and Related Mean-Risk Models
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Title not available (Why is that?)
• A new rank dependent utility approach to model risk averse preferences in portfolio optimization
• General linear formulations of stochastic dominance criteria
• Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• A general test for SSD portfolio efficiency
• Test equating. Methods and practices

Cited In (5)

• Enhanced indexation based on second-order stochastic dominance
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
• Portfolio construction based on stochastic dominance and target return distributions

Uses Software

• R
• CPLEX

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