Gains from diversification on convex combinations: a majorization and stochastic dominance approach

DOI10.1016/j.ejor.2009.01.007zbMath1177.90340OpenAlexW2126443526MaRDI QIDQ1044121

Wing-Keung Wong, Martín Egozcue

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.007

zbMATH Keywords

expected utilitystochastic dominancemajorizationdiversificationportfolio selection

Mathematics Subject Classification ID

Combinatorial optimization (90C27) Portfolio theory (91G10)

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