Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
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Publication:6069774
DOI10.1111/itor.12435OpenAlexW2737899722MaRDI QIDQ6069774
Selvamuthu Dharmaraja, Arti Singh
Publication date: 17 November 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.12435
convex programmingrisk aversionstochastic dominanceoptimal tradingexecution costautoregressive behavior
Related Items (2)
Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
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