A note on the portfolio selection problem
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Publication:2502406
DOI10.1007/s11238-005-8634-2zbMath1119.91045OpenAlexW2111678929MaRDI QIDQ2502406
Patrizia Semeraro, Franco Pellerey
Publication date: 12 September 2006
Published in: Theory and Decision (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11238-005-8634-2
Related Items (6)
Arrangement increasing resource allocation ⋮ Precautionary saving in the presence of labor income and interest rate risks ⋮ A note on second-order stochastic dominance for linear combinations of dependent Bernoulli random variables ⋮ Portfolio selection through an extremality stochastic order ⋮ When can expected utility handle first-order risk aversion? ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach
Cites Work
- The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
- Convex orders for linear combinations of random variables
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Preservation of positive and negative orthant dependence concepts under mixtures and applications
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