Robustness of optimal portfolios under risk and stochastic dominance constraints
Year of publication: |
2014
|
---|---|
Authors: | Dupačová, Jitka ; Kopa, Miloš |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 434-441
|
Publisher: |
Elsevier |
Subject: | Robustness and sensitivity analysis | Markowitz mean–variance model | Probabilistic risk constraints | Contamination technique | First order stochastic dominance constraints | Portfolio efficiency tests |
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