Novel approaches for portfolio construction using second order stochastic dominance
type: Item
instance of: scholarly article
title: Novel approaches for portfolio construction using second order stochastic dominance
zbMATH Open document ID: 1416.91339
author: Cristiano Arbex Valle
author: D. Roman
author: Gautam Mitra
published in: Computational Management Science
publication date: 2018-10-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60E15
zbMATH DE Number: 6950375
zbMATH Keywords: portfolio optimisation
zbMATH Keywords: stochastic dominance
zbMATH Keywords: reference distribution
zbMATH Keywords: left tail
zbMATH Keywords: downside risk
describes a project that uses: R
describes a project that uses: CPLEX
MaRDI profile type: Publication
full work available at URL: s10287-017-0274-9
OpenAlex ID: W2583959627
Wikidata QID: Q59614811
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DOI: 10.1007/S10287-017-0274-9
description: scientific article; zbMATH DE number 6950375