The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Robust pricing models often suffer from being overly conservative. This is due to lack of asymmetry information within the set of possible valuation distributions. However, even when information on asymmetry is available incorporating it within pricing models makes the characterization of...