On the dual test for SSD efficiency With an application to momentum investment strategies

DOI10.1016/j.ejor.2006.08.010zbMath1149.90374OpenAlexW3121673407MaRDI QIDQ2464238

Thierry Post

Publication date: 10 December 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.08.010

zbMATH Keywords

linear programminginvestment analysisstochastic dominance

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic models in economics (91B70)

Related Items

A new rank dependent utility approach to model risk averse preferences in portfolio optimization ⋮ Second-order stochastic dominance constrained portfolio optimization: theory and computational tests ⋮ A simple SSD-efficiency test ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Data envelopment analysis of mutual funds based on second-order stochastic dominance ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Extending the Fama and French model with a long term memory factor ⋮ Comparing risks with reference points: a stochastic dominance approach ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach ⋮ General linear formulations of stochastic dominance criteria

Cites Work

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