Dual Stochastic Dominance and Quantile Risk Measures
From MaRDI portal
Publication:4806837
DOI10.1111/1475-3995.00380zbMath1038.91048OpenAlexW2114527257MaRDI QIDQ4806837
Włodzimierz Ogryczak, Ruszczyński, Andrzej
Publication date: 23 June 2003
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1475-3995.00380
Related Items
Enhanced index tracking with CVaR-based ratio measures, The effect of regularization in portfolio selection problems, Robust Decisions under Risk for Imprecise Probabilities, An interactive approach to stochastic programming-based portfolio optimization, Conditional median as a robust solution concept for uncapacitated location problems, An omega portfolio model with dynamic return thresholds, Comparing tail variabilities of risks by means of the excess wealth order, Efficient optimization of the reward-risk ratio with polyhedral risk measures, Conditional value at risk and related linear programming models for portfolio optimization, Tail mean and related robust solution concepts, Second order of stochastic dominance efficiency vs mean variance efficiency, Enhanced indexing using weighted conditional value at risk, Worst-case robust Omega ratio, Twenty years of linear programming based portfolio optimization, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION, On risk management problems related to a coherence property, On extending the LP computable risk measures to account downside risk, Multi-stage stochastic model in portfolio selection problem