Maximum probability dominance and portfolio theory

DOI10.1007/BF00939924zbMath0793.90005OpenAlexW2043867415MaRDI QIDQ1321114

Jati K. Sengupta

Publication date: 27 April 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00939924

zbMATH Keywords

stochastic dominanceprobability dominancemean- variance efficiencyportfolios of returns

Mathematics Subject Classification ID

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Cites Work

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• Stochastic optimization and economic models
• Nonparametric tests of efficiency of portfolio investment
• Probability dominance in random outcomes
• A dynamic view of the portfolio efficiency frontier
• Optimality criteria for comparing efficient portfolios