Recommendations
- Enhanced indexation based on second-order stochastic dominance
- A general test for SSD portfolio efficiency
- Measuring of second-order stochastic dominance portfolio efficiency
- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- A second-order stochastic dominance portfolio efficiency measure
Cites work
- A note on asset proportions, stochastic dominance, and the 50\% rule
- A Test of the Efficiency of a Given Portfolio
- Asset Proportions in Optimal Portfolios
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Marginal Conditional Stochastic Dominance
- Nonparametric Tests of Stochastic Dominance in Income Distributions
- On a Class of Poverty Measures
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- Two-Sided Screening Procedures in the Bivariate Case
Cited in
(7)- Efficiency and options on the market index
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- A measure of total firm performance: new insights for the corporate objective
- Pricing and risk management of interest rate swaps
- Enhanced indexation based on second-order stochastic dominance
- Sub-additive recursive ``matching noise and biases in risk-weighted index calculation methods in incomplete markets with partially observable multi-attribute preferences
- Index tracking with utility enhanced weighting
This page was built for publication: Making inefficient market indices efficient
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q617525)
