Novel approaches for portfolio construction using second order stochastic dominance

DOI10.1007/s10287-017-0274-9zbMath1416.91339OpenAlexW2583959627WikidataQ59614811 ScholiaQ59614811MaRDI QIDQ1789608

Cristiano Arbex Valle, Diana Roman, Gautam Mitra

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0274-9

zbMATH Keywords

stochastic dominancedownside riskportfolio optimisationreference distributionleft tail

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (1)

Deviation measure in second‐order stochastic dominance with an application to enhanced indexing

Uses Software

• R
• CPLEX

Cites Work

• Enhanced indexation based on second-order stochastic dominance
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• Stochastic Dominance and Expected Utility: Survey and Analysis
• Optimization with Stochastic Dominance Constraints
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Dual Stochastic Dominance and Related Mean-Risk Models
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Unnamed Item

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