Measuring of second-order stochastic dominance portfolio efficiency
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Publication:3585648
zbMATH Open1193.91140MaRDI QIDQ3585648FDOQ3585648
Authors: Miloš Kopa 
Publication date: 20 August 2010
Full work available at URL: https://eudml.org/doc/196506
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Cites Work
- Title not available (Why is that?)
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- Frontiers of Stochastically Nondominated Portfolios
Cited In (17)
- On relations between DEA-risk models and stochastic dominance efficiency tests
- A general test for SSD portfolio efficiency
- Making inefficient market indices efficient
- Individual optimal pension allocation under stochastic dominance constraints
- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- Second order of stochastic dominance efficiency vs mean variance efficiency
- A second-order stochastic dominance portfolio efficiency measure
- Novel approaches for portfolio construction using second order stochastic dominance
- Robustness in SSD portfolio efficiency testing
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Third degree stochastic dominance and mean-risk analysis
- 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
- Robustness in stochastic programs with risk constraints
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
- An enhanced model for portfolio choice with SSD criteria: a constructive approach
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