Modifying the mean-variance approach to avoid violations of stochastic dominance
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Publication:3117331
DOI10.1287/MNSC.1100.1224zbMATH Open1232.91210OpenAlexW2100513203MaRDI QIDQ3117331FDOQ3117331
Publication date: 27 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/09f8742d7e83b3151854e6f9fc569313afb9d36c
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- Expected return -- expected loss approach to optimal portfolio investment
- A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation
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- Probability weighting and L-moments
- General linear formulations of stochastic dominance criteria
- Generalised mean-risk preferences
- Which decision theory?
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