Making inefficient market indices efficient

DOI10.1016/J.EJOR.2010.09.013zbMath1208.91132OpenAlexW2117500871MaRDI QIDQ617525

Octave Jokung, Konstantinos Kassimatis, Ephraim Clark

Publication date: 21 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.09.013

zbMATH Keywords

investment analysisfinancestochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Utility theory (91B16) Portfolio theory (91G10)

Related Items (4)

An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ A measure of total firm performance: new insights for the corporate objective ⋮ Index tracking with utility enhanced weighting ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule
• Asset Proportions in Optimal Portfolios
• Two-Sided Screening Procedures in the Bivariate Case
• On a Class of Poverty Measures
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Marginal Conditional Stochastic Dominance
• A Test of the Efficiency of a Given Portfolio
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• Consistent Testing for Stochastic Dominance under General Sampling Schemes

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