Multivariate stochastic dominance applied to sector-based portfolio selection

DOI10.1093/IMAMAN/DPAA004MaRDI QIDQ5000469zbMATH OpenOpenAlexFDO

Authors Noureddine Kouaissah, Sergio Ortobelli Lozza

Publication date 13 July 2021

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpaa004

zbMATH Keywords

elliptical distributionsstochastic dominancemean-risk analysismarket sectors

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited in

(1)

• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements

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