A simple SSD-efficiency test

DOI10.1007/s11590-013-0720-8zbMath1308.90097OpenAlexW1968050957MaRDI QIDQ476280

Bogdan Grechuk

Publication date: 28 November 2014

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-013-0720-8

zbMATH Keywords

linear programmingstochastic dominanceportfolio analysis

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Related Items (2)

Inverse portfolio problem with coherent risk measures ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints

Cites Work

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• Stochastic Dominance and Expected Utility: Survey and Analysis
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• The Dual Theory of Choice under Risk
• Stochastic finance. An introduction in discrete time

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