PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS

DOI10.1142/S0219024913500295zbMath1282.91305OpenAlexW2133051835MaRDI QIDQ2853378

Haim Shalit, Sergio Ortobelli Lozza, Frank J. Fabozzi

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500295

zbMATH Keywords

probability metricsportfolio selectionstochastic orderings

Mathematics Subject Classification ID

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

Related Items

Inverse portfolio problem with coherent risk measures, Asymptotic multivariate dominance: a financial application, Portfolio optimization with asset preselection using data envelopment analysis, Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria, On the impact of conditional expectation estimators in portfolio theory, An optimization-diversification approach to portfolio selection

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