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  • Search: subject:"First order stochastic dominance constraints"
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Subject
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Contamination technique 2 First order stochastic dominance constraints 2 Portfolio efficiency tests 2 Probabilistic risk constraints 2 Robustness and sensitivity analysis 2 Decision under uncertainty 1 Entscheidung unter Unsicherheit 1 Markowitz mean-variance model 1 Markowitz mean–variance model 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Robust statistics 1 Robustes Verfahren 1 Sensitivity analysis 1 Sensitivitätsanalyse 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Dupačová, Jitka 2 Kopa, Miloš 1 Kopam, Milos̆ 1
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European Journal of Operational Research 1 European journal of operational research : EJOR 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopa, Miloš - In: European Journal of Operational Research 234 (2014) 2, pp. 434-441
Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with...
Persistent link: https://www.econbiz.de/10011052575
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Cover Image
Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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