Second order of stochastic dominance efficiency vs mean variance efficiency

DOI10.1016/j.ejor.2020.08.051zbMath1487.91125OpenAlexW3082683133MaRDI QIDQ2029940

Matteo Malavasi, Stefan Trück, Sergio Ortobelli Lozza

Publication date: 4 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.08.051

zbMATH Keywords

investment analysisstochastic dominancemultiple objective programmingefficient setmean variance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (1)

A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal path problems with second-order stochastic dominance constraints
• Does mean-variance portfolio management deserve expected utility's approximative affirmation?
• Do investors like to diversify? A study of Markowitz preferences
• Tractable almost stochastic dominance
• Apportioning of risks via stochastic dominance
• Uniqueness of solution in linear programming
• Computing efficient frontiers using estimated parameters
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
• Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
• On exact and approximate stochastic dominance strategies for portfolio selection
• A minimax portfolio selection strategy with equilibrium
• Conditional value at risk and related linear programming models for portfolio optimization
• Portfolio construction based on stochastic dominance and target return distributions
• Mean-variance approximations to expected utility
• The opportunity cost of mean-variance choice under estimation risk
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• A general test for SSD portfolio efficiency
• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Multiobjective Linear Programming
• STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS
• Orderings and Probability Functionals Consistent with Preferences
• Portfolio Efficient Sets
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• On the foundation of performance measures under asymmetric returns
• Dual Stochastic Dominance and Quantile Risk Measures
• An enhanced model for portfolio choice with SSD criteria: a constructive approach
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables

This page was built for publication: Second order of stochastic dominance efficiency vs mean variance efficiency