Portfolio optimization based on stochastic dominance and empirical likelihood
type: Item
instance of: scholarly article
title: Portfolio optimization based on stochastic dominance and empirical likelihood
zbMATH Open document ID: 1398.91543
author: Thierry Post
author: Selçuk Karabatı
author: Stelios Arvanitis
published in: Journal of Econometrics
publication date: 2018-08-29T00:00:00Z
full work available at URL: http://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/8988
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 6928479
zbMATH Keywords: stochastic dominance
zbMATH Keywords: empirical likelihood
zbMATH Keywords: portfolio optimization
zbMATH Keywords: momentum strategies
zbMATH Keywords: non-Gaussian multivariate return distributions
zbMATH Keywords: linear programming
describes a project that uses: CONOPT
MaRDI profile type: Publication
OpenAlex ID: W2516170903
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DOI: 10.1016/J.JECONOM.2018.01.011
description: scientific article; zbMATH DE number 6928479