On exact and approximate stochastic dominance strategies for portfolio selection
Renato Bruni, Francesco Cesarone, Andrea Scozzari, Fabio Tardella
| Year of publication: |
16 May 2017
|
|---|---|
| Authors: | Bruni, Renato ; Cesarone, Francesco ; Scozzari, Andrea ; Tardella, Fabio |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 259.2017, 1 (16.5.), p. 322-329
|
| Subject: | Applied probability | Stochastic dominance | Portfolio optimization | Expected shortfall | Index tracking | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011644989