Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou

Year of publication:	[2024]
Authors:	Arvanitis, Stelios ; Scaillet, Olivier ; Topaloglou, Nikolas
Publisher:	Geneva : Swiss Finance Institute
Subject:	Nonparametric estimation \| stochastic dominance \| spanning \| under-diversification \| greedy algorithm \| Linear Programming \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory

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