Advancements in stochastic dominance efficiency tests

DOI10.1016/j.ejor.2018.12.014zbMath1431.91362OpenAlexW2905380795MaRDI QIDQ666998

Nasim Dehghan Hardoroudi, Markku Kallio

Publication date: 12 March 2019

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

Full work available at URL: https://aaltodoc.aalto.fi/handle/123456789/43785

zbMATH Keywords

portfolio efficiency\(n\)th order stochastic dominancestochastic dominance efficiency

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (5)

Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Operational asymptotic stochastic dominance ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices ⋮ Incomplete risk-preference information in portfolio decision analysis ⋮ Central moments, stochastic dominance, moment rule, and diversification with an application

Cites Work

• Unnamed Item
• Standard stochastic dominance
• Higher-degree stochastic dominance optimality and efficiency
• General linear formulations of stochastic dominance criteria
• Frontiers of Stochastically Nondominated Portfolios

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