Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Year of publication: |
2016
|
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Authors: | Keçeci, Neslihan Fidan ; Kuzmenko, Viktor ; Uryasev, Stan |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 9.2016, 4, p. 1-14
|
Publisher: |
Basel : MDPI |
Subject: | stochastic dominance | stochastic order | portfolio optimization | portfolio selection | Dow Jones Index | S&P 100 Index | DAX index | partial moment | conditional value-at-risk | CVaR |
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