A second-order stochastic dominance portfolio efficiency measure
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Publication:3604338
zbMATH Open1154.91456MaRDI QIDQ3604338FDOQ3604338
Authors: Miloš Kopa, P. Chovanec 
Publication date: 24 February 2009
Full work available at URL: https://eudml.org/doc/33924
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Cites Work
- Stochastic Dominance
- Dual Stochastic Dominance and Related Mean-Risk Models
- The Efficiency Analysis of Choices Involving Risk
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Some remarks on the value-at-risk and the conditional value-at-risk
- Portfolio Efficient Sets
- Frontiers of Stochastically Nondominated Portfolios
Cited In (26)
- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- On relations between DEA-risk models and stochastic dominance efficiency tests
- A general test for SSD portfolio efficiency
- Making inefficient market indices efficient
- ALM models based on second order stochastic dominance
- A new rank dependent utility approach to model risk averse preferences in portfolio optimization
- Tractable almost stochastic dominance
- 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
- Inverse portfolio problem with coherent risk measures
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- Stochastic dominance: convexity and some efficiency tests
- A simple SSD-efficiency test
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- Robustness in SSD portfolio efficiency testing
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Measuring of second-order stochastic dominance portfolio efficiency
- 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
- General linear formulations of stochastic dominance criteria
- Uniformly monotone functions -- definition, properties, characterizations
- Inverse portfolio problem with mean-deviation model
- An inter-temporal CAPM based on first order stochastic dominance
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
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