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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

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

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

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

Comparison of mean-risk efficient portfolios in Asia-Pacific capital markets

Kopa, Miloš; Tichý, Tomáš - In: Emerging markets finance & trade : a journal of the … 50 (2014) 1, pp. 226-240

Persistent link: https://www.econbiz.de/10010402573

Individual optimal pension allocation under stochastic dominance constraints

Kopa, Miloš; Moriggia, Vittorio; Vitali, Sebastiano - In: Advances of OR in commodities and financial modeling, (pp. 255-291). 2018

Persistent link: https://www.econbiz.de/10011871403

Optimal pension fund composition for an Italian private pension plan sponsor

Vitali, Sebastiano; Moriggia, Vittorio; Kopa, Miloš - In: Computational Management Science : CMS 14 (2017) 1, pp. 135-160

Persistent link: https://www.econbiz.de/10011710371

DEA models equivalent to general imageth order stochastic dominance efficiency tests

Branda, Martin; Kopa, Miloš - In: Operations research letters 44 (2016) 2, pp. 285-289

Persistent link: https://www.econbiz.de/10011457629

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Moriggia, Vittorio; Kopa, Miloš; Vitali, Sebastiano - In: Omega : the international journal of management science 87 (2019), pp. 127-141

Persistent link: https://www.econbiz.de/10012063408