Robustness of optimal portfolios under risk and stochastic dominance constraints
Year of publication: |
2014
|
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Authors: | Dupačová, Jitka ; Kopam, Milos̆ |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 434-441
|
Subject: | Robustness and sensitivity analysis | Markowitz mean-variance model | Probabilistic risk constraints | Contamination technique | First order stochastic dominance constraints | Portfolio efficiency tests | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Sensitivitätsanalyse | Sensitivity analysis | Risikoaversion | Risk aversion | Entscheidung unter Unsicherheit | Decision under uncertainty | Wahrscheinlichkeitsrechnung | Probability theory |
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