Sufficient conditions under which SSD- and MR-efficient sets are identical
DOI10.1016/J.EJOR.2014.06.003zbMATH Open1339.91053OpenAlexW2023733956MaRDI QIDQ297397FDOQ297397
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
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Cites Work
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- From stochastic dominance to mean-risk models: Semideviations as risk measures
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- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
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- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
- THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
- Safety First and the Holding of Assets
- Preferences over location-scale family
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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