Second-order stochastic dominance constrained portfolio optimization : theory and computational tests
Markku Kallio, Nasim Dehghan Hardoroudi
| Year of publication: |
16 January 2018
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| Authors: | Kallio, Markku ; Hardoroudi, Nasim Dehghan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 264.2018, 2 (16.1.), p. 675-685
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| Subject: | Portfolio optimization | Second-order stochastic dominance | Stochastic programming | Mean-risk model | Expected utility | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Erwartungsnutzen |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.06.067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011801909