Deviation measure in second‐order stochastic dominance with an application to enhanced indexing

DOI10.1111/itor.12629OpenAlexW2911664277WikidataQ128550140 ScholiaQ128550140MaRDI QIDQ6091883

Anubha Goel, Amita Sharma

Publication date: 21 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12629

zbMATH Keywords

second-order stochastic dominancedeviation measuressimulated dataenhanced indexingtail risk measurelower partial moment

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Enhanced indexation based on second-order stochastic dominance
• Optimal path problems with second-order stochastic dominance constraints
• Processing second-order stochastic dominance models using cutting-plane representations
• An introduction to copulas.
• Tail dependence functions and vine copulas
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Financial analysis based sectoral portfolio optimization under second order stochastic dominance
• Index tracking and enhanced indexing using mixed conditional value-at-risk
• On exact and approximate stochastic dominance strategies for portfolio selection
• Novel approaches for portfolio construction using second order stochastic dominance
• An evolutionary heuristic for the index tracking problem.
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Generalized deviations in risk analysis
• A general test for SSD portfolio efficiency
• Third Degree Stochastic Dominance and Mean-Risk Analysis
• Testing for Stochastic Dominance Efficiency
• Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
• Modelling the persistence of conditional variances
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Optimization with Stochastic Dominance Constraints
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Stochastic multiple‐criteria decision making with 2‐tuple aspirations: a method based on disappointment stochastic dominance
• Dual Stochastic Dominance and Related Mean-Risk Models
• A normal copula model for the arrival process in a call center
• Testing for the stochastic dominance efficiency of a given portfolio
• The Efficiency Analysis of Choices Involving Risk
• Analysis of Financial Time Series
• On consistency of stochastic dominance and mean-semideviation models
• Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics

This page was built for publication: Deviation measure in second‐order stochastic dominance with an application to enhanced indexing