Robustness in SSD portfolio efficiency testing

DOI10.1007/978-3-642-29210-1_84zbMath1306.91128OpenAlexW101554702MaRDI QIDQ5176363

Miloš Kopa

Publication date: 3 March 2015

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29210-1_84

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Robustness in stochastic programs with risk constraints
• Dual Stochastic Dominance and Related Mean-Risk Models
• Stochastic Dominance
• Frontiers of Stochastically Nondominated Portfolios
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