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Persistent link: https://www.econbiz.de/10010221754
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/10011439453
Persistent link: https://www.econbiz.de/10011760503