Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
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Publication:1761828
DOI10.1007/s10479-012-1123-4zbMath1259.91079OpenAlexW2025638995MaRDI QIDQ1761828
Publication date: 15 November 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/10084.pdf
Related Items (10)
A new rank dependent utility approach to model risk averse preferences in portfolio optimization ⋮ STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS ⋮ Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Second-order stochastic dominance constrained portfolio optimization: theory and computational tests ⋮ Approximating exact expected utility via portfolio efficient frontiers ⋮ Bivariate almost stochastic dominance ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ General linear formulations of stochastic dominance criteria
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