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Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum

Post, Thierry; Kopa, Miloš - 2015

We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...

Persistent link: https://www.econbiz.de/10011696295

Aggregate investor preferences and beliefs : a comment

Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190

Persistent link: https://www.econbiz.de/10010221754

General linear formulations of stochastic dominance criteria

Post, Thierry; Kopa, Miloš - In: European journal of operational research : EJOR 230 (2013) 2, pp. 321-332

Persistent link: https://www.econbiz.de/10009771839

A portfolio optimality test based on the first-order stochastic dominance criterion

Kopa, Miloš; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1103-1124

Persistent link: https://www.econbiz.de/10003938862

Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum

Post, Thierry; Kopa, Miloš - 2015

Persistent link: https://www.econbiz.de/10011439453

Linear tests for decreasing absolute risk aversion stochastic dominance

Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629

Persistent link: https://www.econbiz.de/10011304114

Portfolio choice based on third-degree stochastic dominance

Post, Thierry; Kopa, Miloš - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3381-3392

Persistent link: https://www.econbiz.de/10011760503

DEA-risk efficiency and stochastic dominance efficiency of stock indices

Branda, Martin; Kopa, Miloš - In: Finance a úvěr 62 (2012) 2, pp. 106-124

Persistent link: https://www.econbiz.de/10010118049

Robustness of stochastic programs with endogenous randomness via contamination

Kopa, Miloš; Rusý, Tomáš - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1259-1272

Persistent link: https://www.econbiz.de/10013492871

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Drábek, Zdeněk; Kopa, Miloš; Maciak, Matúš; … - In: Computational management science 20 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10014391957