Sufficient conditions under which SSD- and MR-efficient sets are identical

DOI10.1016/J.EJOR.2014.06.003MaRDI QIDQ297397zbMATH OpenOpenAlexFDO

Authors Frank Schuhmacher, Benjamin R. Auer

Publication date 27 June 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.2014.06.003

zbMATH Keywords

utility theoryefficient setsgeneralized location and scale propertymean-risk modelssecond-degree stochastic dominance

Mathematics Subject Classification ID

Decision theory (91B06) Auctions, bargaining, bidding and selling, and other market models (91B26) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 3823438 (Why is no real title available?)
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• An economic index of riskiness
• Coherent measures of risk
• Common risk factors in the returns on stocks and bonds
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Generalized deviations in risk analysis
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Measures of risk
• Preferences over location-scale family
• Safety First and the Holding of Assets
• Sharpe thinking in asset ranking with one-sided measures
• Stochastic Dominance and Expected Utility: Survey and Analysis
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
• Variance vs downside risk: Is there really that much difference?
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Cited in

(5)

• How does the choice of Value-at-Risk estimator influence asset allocation decisions?
• SSD consistent criteria and coherent risk measures
• The premium of dynamic trading in a discrete-time setting
• Portfolio selection in a two-regime world
• Comparing the small-sample estimation error of conceptually different risk measures

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