A simple SSD-efficiency test

DOI10.1007/S11590-013-0720-8zbMATH Open1308.90097OpenAlexW1968050957MaRDI QIDQ476280FDOQ476280

Authors: Bogdan Grechuk 

Publication date: 28 November 2014

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-013-0720-8

Recommendations

• A general test for SSD portfolio efficiency
• Robustness in SSD portfolio efficiency testing
• A second-order stochastic dominance portfolio efficiency measure
• On the dual test for SSD efficiency With an application to momentum investment strategies
• Stochastic dominance: convexity and some efficiency tests

zbMATH Keywords

linear programmingstochastic dominanceportfolio analysis

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• The Dual Theory of Choice under Risk
• Optimization with Stochastic Dominance Constraints
• Stochastic finance. An introduction in discrete time
• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic Dominance and Expected Utility: Survey and Analysis
• On the dual test for SSD efficiency With an application to momentum investment strategies
• A second-order stochastic dominance portfolio efficiency measure
• General linear formulations of stochastic dominance criteria
• Inverse portfolio problem with mean-deviation model
• New Formulations for Optimization under Stochastic Dominance Constraints
• A general test for SSD portfolio efficiency
• A Remark on Third Degree Stochastic Dominance

Cited In (4)

• Two-stage optimization problems with multivariate stochastic order constraints
• A general test for SSD portfolio efficiency
• Inverse portfolio problem with coherent risk measures
• Robustness in SSD portfolio efficiency testing

This page was built for publication: A simple SSD-efficiency test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q476280)