Robustness of optimal portfolios under risk and stochastic dominance constraints
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Publication:2514714
DOI10.1016/j.ejor.2013.06.018zbMath1304.91190OpenAlexW2047984360MaRDI 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
robustnesssensitivity analysisMarkowitz mean-variance modelcontamination techniquefirst order stochastic dominance constraintsportfolio efficiency testsprobabilistic risk constraints
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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