Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
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Cited in
(7)- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
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- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
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- Portfolio optimization based on stochastic dominance and empirical likelihood
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
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