Robustness of optimal portfolios under risk and stochastic dominance constraints

Jitka Dupac̆ová; Milos̆ Kopam

Year of publication:	2014
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 \| Risiko \| Risk \| Mathematische Optimierung \| Mathematical programming \| Robustes Verfahren \| Robust statistics \| Sensitivitätsanalyse \| Sensitivity analysis \| Risikomaß \| Risk measure \| Wahrscheinlichkeitsrechnung \| Probability theory \| Entscheidung unter Unsicherheit \| Decision under uncertainty

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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