Frontiers of Stochastically Nondominated Portfolios

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Cited in

(43)

Epsilon-dominating solutions in mean-variance portfolio analysis
Optimal privatization portfolios in the presence of arbitrary risk aversion
Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
On exact and approximate stochastic dominance strategies for portfolio selection
Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
HARA frontiers of optimal portfolios in stochastic markets
Robustness in stochastic programs with risk constraints
Incomplete risk-preference information in portfolio decision analysis
Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
A bicriteria approach identifying nondominated portfolios
A computationally stable solution algorithm for linear programs
Solving cardinality constrained mean-variance portfolio problems via MILP
Data envelopment analysis of mutual funds based on second-order stochastic dominance
Convexity and decomposition of mean-risk stochastic programs
Portfolio construction based on stochastic dominance and target return distributions
A linear risk-return model for enhanced indexation in portfolio optimization
Data-driven portfolio management with quantile constraints
Risk aversion in two-stage stochastic integer programming
Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
scientific article; zbMATH DE number 5002198 (Why is no real title available?)
Measuring of second-order stochastic dominance portfolio efficiency
A second-order stochastic dominance portfolio efficiency measure
scientific article; zbMATH DE number 3923868 (Why is no real title available?)
A Parametric Approach to Stochastic Dominance: The Lognormal Case
Nonparametric comparative revealed risk aversion
Tractable almost stochastic dominance
Two-stage portfolio optimization with higher-order conditional measures of risk
Time consistency of the mean-risk problem
Robustness in SSD portfolio efficiency testing
A parametric simplex algorithm for linear vector optimization problems
The p-folded cumulative distribution function and the mean absolute deviation from the p-quantile
Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems
Assessing the prediction uncertainty in a route optimization model for autonomous maritime logistics
Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
A bi-criteria moving-target travelling salesman problem under uncertainty
Efficient portfolios and extreme risks: a Pareto-Dirichlet approach
Convergence analysis of a norm minimization-based convex vector optimization algorithm
Advancements in stochastic dominance efficiency tests
Time-consistent asset allocation for risk measures in a Lévy market
Benson type algorithms for linear vector optimization and applications
Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
A risk-averse newsvendor with law invariant coherent measures of risk
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

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