Portfolio optimization based on stochastic dominance and empirical likelihood

DOI10.1016/j.jeconom.2018.01.011zbMath1398.91543OpenAlexW2516170903MaRDI QIDQ1668578

Selçuk Karabatı, Stelios Arvanitis, Thierry Post

Publication date: 29 August 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/8988

zbMATH Keywords

linear programmingportfolio optimizationstochastic dominanceempirical likelihoodmomentum strategiesnon-Gaussian multivariate return distributions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (5)

Nonparametric mean-lower partial moment model and enhanced index investment ⋮ Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Optimal measure preserving derivatives revisited ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Risk Arbitrage Opportunities for Stock Index Options

Uses Software

• CONOPT

Cites Work

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