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Gains from diversification on convex combinations: a majorization and stochastic dominance approach

Egozcue, Martin; Wong, Wing Keung - In: European journal of operational research : EJOR 200 (2009/10) 3, pp. 893-900

Persistent link: https://www.econbiz.de/10003892398

Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory

Bai, Zhidong; Liu, Huixia; Wong, Wing Keung - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 639-667

Persistent link: https://www.econbiz.de/10003937548

Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR

Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935

Persistent link: https://www.econbiz.de/10008652647

A new pseudo-Bayesian model with implications for financial anomalies and investors' behavior

Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: The journal of behavioral finance : a publication of … 13 (2012) 2, pp. 93-107

Persistent link: https://www.econbiz.de/10009616411

Integration-segregation decisions under general value functions : "create your own bundle - choose 1, 2 or all 3!"

Egozcue, Martín; Massoni, Sébastien; Wong, Wing Keung; … - In: IMA journal of management mathematics 25 (2014) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10010242802

International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011553184