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Spanning tests for Markowitz stochastic dominance - MaRDI portal

Spanning tests for Markowitz stochastic dominance (Q2190226)

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Spanning tests for Markowitz stochastic dominance
scientific article

    Statements

    title
    Spanning tests for Markowitz stochastic dominance (English)
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    author
    Stelios Arvanitis
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    Nikolas Topaloglou
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    Olivier Scaillet
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    publication date
    18 June 2020
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    zbMATH Keywords
    saddle-type point
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    Markowitz stochastic dominance
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    spanning test
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    linear and mixed integer programming
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    reverse S-shaped utility
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    cites work
    Subsampling
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    Q4943603
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    Identifiers

    Mathematics Subject Classification ID
    62G10
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    62G09
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    91B16
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    91G10
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    62P05
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    zbMATH DE Number
    7213051
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    OpenAlex ID
    W2996847862
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    arXiv ID
    1810.10800
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