Multivariate stochastic dominance applied to sector-based portfolio selection

DOI10.1093/IMAMAN/DPAA004OpenAlexW3023154024MaRDI QIDQ5000469FDOQ5000469

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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