Robustness of optimal portfolios under risk and stochastic dominance constraints
From MaRDI portal
Publication:2514714
DOI10.1016/j.ejor.2013.06.018zbMath1304.91190MaRDI QIDQ2514714
Publication date: 3 February 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.2013.06.018
robustness; sensitivity analysis; Markowitz mean-variance model; contamination technique; first order stochastic dominance constraints; portfolio efficiency tests; probabilistic risk constraints
60E15: Inequalities; stochastic orderings
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91G10: Portfolio theory
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