Second order of stochastic dominance efficiency vs mean variance efficiency

DOI10.1016/J.EJOR.2020.08.051zbMATH Open1487.91125OpenAlexW3082683133MaRDI QIDQ2029940FDOQ2029940

Authors: Matteo Malavasi, Sergio Ortobelli Lozza, Stefan Trück 

Publication date: 4 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.08.051

Recommendations

• Measuring of second-order stochastic dominance portfolio efficiency
• A second-order stochastic dominance portfolio efficiency measure
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• A general test for SSD portfolio efficiency
• Stochastic dominance: convexity and some efficiency tests

zbMATH Keywords

stochastic dominanceinvestment analysismean variancemultiple objective programmingefficient set

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• Mean-variance approximations to expected utility
• The opportunity cost of mean-variance choice under estimation risk
• Comparison methods for stochastic models and risks
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
• Portfolio construction based on stochastic dominance and target return distributions
• Title not available (Why is that?)
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Uniqueness of solution in linear programming
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Optimal path problems with second-order stochastic dominance constraints
• Apportioning of risks via stochastic dominance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Conditional value at risk and related linear programming models for portfolio optimization
• Some remarks on the value-at-risk and the conditional value-at-risk
• Stochastic dominance: convexity and some efficiency tests
• A second-order stochastic dominance portfolio efficiency measure
• Computing efficient frontiers using estimated parameters
• A minimax portfolio selection strategy with equilibrium
• A minimax portfolio selection rule with linear programming solution
• Title not available (Why is that?)
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Does mean-variance portfolio management deserve expected utility's approximative affirmation?
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables
• Dual Stochastic Dominance and Quantile Risk Measures
• Portfolio Efficient Sets
• Do investors like to diversify? A study of Markowitz preferences
• Tractable almost stochastic dominance
• A general test for SSD portfolio efficiency
• Multiobjective linear programming. An introduction
• Orderings and Probability Functionals Consistent with Preferences
• Title not available (Why is that?)
• On exact and approximate stochastic dominance strategies for portfolio selection
• Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
• On the foundation of performance measures under asymmetric returns

Cited In (8)

• A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
• A second-order stochastic dominance portfolio efficiency measure
• Measuring of second-order stochastic dominance portfolio efficiency
• Portfolio selection with second order uncertain dominance constraint
• Financial analysis based sectoral portfolio optimization under second order stochastic dominance
• Portfolio selection in a two-regime world
• Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty
• Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches

This page was built for publication: Second order of stochastic dominance efficiency vs mean variance efficiency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2029940)