Enhanced indexation based on second-order stochastic dominance

DOI10.1016/j.ejor.2013.01.035zbMath1332.91104MaRDI QIDQ257272

Gautam Mitra, Diana Roman, Victor Zverovich

Publication date: 15 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.01.035

zbMATH Keywords

finance; stochastic dominance; portfolio choice; index tracking; mean-risk

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91G10: Portfolio theory

Uses Software

• AMPL