Robustness in SSD portfolio efficiency testing

DOI10.1007/978-3-642-29210-1_84MaRDI QIDQ5176363zbMATH OpenOpenAlexFDO

Authors Miloš Kopa

Publication date 3 March 2015

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29210-1_84

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A second-order stochastic dominance portfolio efficiency measure
• Dual Stochastic Dominance and Related Mean-Risk Models
• Frontiers of Stochastically Nondominated Portfolios
• Measuring of second-order stochastic dominance portfolio efficiency
• Robustness in stochastic programs with risk constraints
• Stochastic Dominance

Cited in

(5)

• On the dual test for SSD efficiency With an application to momentum investment strategies
• A general test for SSD portfolio efficiency
• Measuring of second-order stochastic dominance portfolio efficiency
• A second-order stochastic dominance portfolio efficiency measure
• A simple SSD-efficiency test

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