General linear formulations of stochastic dominance criteria
From MaRDI portal
Publication:2355950
DOI10.1016/J.EJOR.2013.04.015zbMATH Open1317.91036OpenAlexW2054326545MaRDI QIDQ2355950FDOQ2355950
Publication date: 28 July 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.015
Recommendations
Cites Work
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Stochastic Dominance
- Choice among distributions
- The Efficiency Analysis of Choices Involving Risk
- Processing second-order stochastic dominance models using cutting-plane representations
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Myopic Loss Aversion and the Equity Premium Puzzle
- Consistent Tests for Stochastic Dominance
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- On the dual test for SSD efficiency With an application to momentum investment strategies
- A second-order stochastic dominance portfolio efficiency measure
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- Robustness in stochastic programs with risk constraints
- Standard Risk Aversion
- Modifying the Mean-Variance Approach to Avoid Violations of Stochastic Dominance
- Asset Proportions in Optimal Portfolios
- Second Degree Stochastic Dominance with Respect to a Function
- Marginal Conditional Stochastic Dominance
- Robust stochastic dominance and its application to risk-averse optimization
- Relative risk aversion: what do we know?
- Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance
- Tractable almost stochastic dominance
- Economically relevant preferences for all observed epsilon
- Stability analysis of stochastic programs with second order dominance constraints
- Bootstrapped Insights into Empirical Applications of Stochastic Dominance
Cited In (33)
- Multistage portfolio optimization with multivariate dominance constraints
- Decision making under uncertainty with unknown utility function and rank-ordered probabilities
- A general test for SSD portfolio efficiency
- Central moments, stochastic dominance, moment rule, and diversification with an application
- ALM models based on second order stochastic dominance
- Higher-degree stochastic dominance optimality and efficiency
- Individual optimal pension allocation under stochastic dominance constraints
- The family of alpha,[a,b] stochastic orders: risk vs. expected value
- Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
- On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
- Portfolio allocation problems between risky and ambiguous assets
- Testing for prospect and Markowitz stochastic dominance efficiency
- Criteri di sensitività in problemi di dominanza stocastica
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Standard stochastic dominance
- A Parametric Approach to Stochastic Dominance: The Lognormal Case
- On exact and approximate stochastic dominance strategies for portfolio selection
- A simple SSD-efficiency test
- Bivariate almost stochastic dominance
- Novel approaches for portfolio construction using second order stochastic dominance
- Neurodynamics-driven portfolio optimization with targeted performance criteria
- Moment conditions for almost stochastic dominance
- DEA models equivalent to general $N$th order stochastic dominance efficiency tests
- Diversification benefits in the cryptocurrency market under mild explosivity
- Optimal privatization portfolios in the presence of arbitrary risk aversion
- Portfolio diversification based on stochastic dominance under incomplete probability information
- Optimal investment under ambiguous technology shocks
- Spanning tests for Markowitz stochastic dominance
- An inter-temporal CAPM based on first order stochastic dominance
- Operational asymptotic stochastic dominance
- Advancements in stochastic dominance efficiency tests
- Incomplete risk-preference information in portfolio decision analysis
- Timing portfolio strategies with exponential Lévy processes
Uses Software
This page was built for publication: General linear formulations of stochastic dominance criteria
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2355950)
