A note on portfolio selection and stochastic dominance

DOI10.1007/S10203-016-0179-ZzbMATH Open1398.91539OpenAlexW2528329495MaRDI QIDQ524901FDOQ524901

Mario Menegatti

Publication date: 27 April 2017

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-016-0179-z

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zbMATH Keywords

stochastic dominanceportfolio\(N\)th-order stochastic dominancethird-order stochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites Work

• Stochastic Dominance
• New results on the relationship among risk aversion, prudence and temperance
• New results on high-order risk changes
• Mathematical modeling of quasi-one-dimensional hemodynamics

Cited In (11)

• A note on the portfolio selection problem
• A note on third degree stochastic dominance
• Frontiers of Stochastically Nondominated Portfolios
• A note on ``Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• On the relative efficiency of nth order and DARA stochastic dominance rules
• Notes on the Markowitz portfolio selection method
• Maximum probability dominance and portfolio theory
• A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures
• Stochastic Dominance
• Changes in multiplicative risks and optimal portfolio choice: new interpretations and results

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