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
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| 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 |
Persistent link: https://www.econbiz.de/10010356735