Sufficient conditions under which SSD- and MR-efficient sets are identical

DOI10.1016/j.ejor.2014.06.003zbMath1339.91053OpenAlexW2023733956MaRDI QIDQ297397

Frank Schuhmacher, Benjamin R. Auer

Publication date: 27 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.06.003

zbMATH Keywords

utility theorymean-risk modelsefficient setsgeneralized location and scale propertysecond-degree stochastic dominance

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Portfolio selection in a two-regime world ⋮ The premium of dynamic trading in a discrete-time setting ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES

Cites Work

• Unnamed Item
• Measures of risk
• Preferences over location-scale family
• A characterization of the distributions that imply mean-variance utility functions
• Variance vs downside risk: Is there really that much difference?
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Sharpe thinking in asset ranking with one-sided measures
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• An Economic Index of Riskiness
• Stochastic Dominance and Expected Utility: Survey and Analysis
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
• Common risk factors in the returns on stocks and bonds
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
• Safety First and the Holding of Assets