A general test for SSD portfolio efficiency
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Publication:2516639
DOI10.1007/S00291-014-0373-8zbMATH Open1318.91185OpenAlexW3124152630MaRDI QIDQ2516639FDOQ2516639
Authors: Miloš Kopa, Thierry Post 
Publication date: 3 August 2015
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-014-0373-8
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Cited In (24)
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Making inefficient market indices efficient
- ALM models based on second order stochastic dominance
- Higher-degree stochastic dominance optimality and efficiency
- Approximating exact expected utility via portfolio efficient frontiers
- Individual optimal pension allocation under stochastic dominance constraints
- Testing for the stochastic dominance efficiency of a given portfolio
- Pension fund management with investment certificates and stochastic dominance
- Financial optimization: optimization paradigms and financial planning under uncertainty
- Second order of stochastic dominance efficiency vs mean variance efficiency
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- A second-order stochastic dominance portfolio efficiency measure
- On exact and approximate stochastic dominance strategies for portfolio selection
- Stochastic dominance: convexity and some efficiency tests
- A simple SSD-efficiency test
- Novel approaches for portfolio construction using second order stochastic dominance
- Robustness in SSD portfolio efficiency testing
- Portfolio optimization based on stochastic dominance and empirical likelihood
- Measuring of second-order stochastic dominance portfolio efficiency
- DEA models equivalent to general $N$th order stochastic dominance efficiency tests
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- On the dual test for SSD efficiency With an application to momentum investment strategies
- Risk arbitrage opportunities for stock index options
- An incremental bundle method for portfolio selection problem under second-order stochastic dominance
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