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Second order stochastic dominance, reward-risk portfolio selection and the CAPM
De Giorgi, Enrico; Post, Thierry - 2005
Persistent link: https://www.econbiz.de/10002604506
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A note on reward-risk portfolio selection and two-fund separation
De Giorgi, Enrico; Hens, Thorsten; Mayer, János - In: Finance research letters 8 (2011) 2, pp. 52-58
Persistent link: https://www.econbiz.de/10009301311
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Monetary policy regimes : implications for the yield curve and bond pricing
Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454
Persistent link: https://www.econbiz.de/10010495817
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Second-order stochastic dominance, reward-risk portfolio selection, and the CAPM
De Giorgi, Enrico; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 525-546
Persistent link: https://www.econbiz.de/10003729147
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A Note on Reward-Risk Portfolio Selection and Two-Fund Separation
De Giorgi, Enrico - 2010
This paper presents a general reward-risk portfolio selection model and derives sufficient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions
Persistent link: https://www.econbiz.de/10013135732