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Semivariance and Stochastic Dominance: A Comparison

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  • Porter, R Burr
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    Bibliographic Info

    Article provided by American Economic Association in its journal American Economic Review.

    Volume (Year): 64 (1974)
    Issue (Month): 1 (March)
    Pages: 200-04

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    Handle: RePEc:aea:aecrev:v:64:y:1974:i:1:p:200-04

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    Cited by:
    1. W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis.
    2. Anderson, Jock R., 1974. "Risk Efficiency in the Interpretation of Agricultural Production Research," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 42(03), September.
    3. W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis.
    4. Nat, M. van der & Brouwer, F., 1995. "Hedging with stock index futures: downside risk versus the variance," Serie Research Memoranda 0023, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Jesús Gonzalo & José Olmo, 2009. "Downside Risk Efficiency Under Market Distress," Economics Working Papers we094423, Universidad Carlos III, Departamento de Economía.
    6. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
    7. Yu, Zuwei, 2003. "A spatial mean-variance MIP model for energy market risk analysis," Energy Economics, Elsevier, vol. 25(3), pages 255-268, May.
    8. Gonzalo, Jesus & Olmo, Jose, 2013. "Conditional stochastic dominance tests in dynamic settings," Discussion Paper Series In Economics And Econometrics 1311, Economics Division, School of Social Sciences, University of Southampton.
    9. Anderson, Anders E. S., 2004. "One for the Gain, Three for the Loss," SIFR Research Report Series 20, Institute for Financial Research.
    10. Tortosa-Ausina, Emili, 2002. "Exploring efficiency differences over time in the Spanish banking industry," European Journal of Operational Research, Elsevier, vol. 139(3), pages 643-664, June.
    11. Patrizia Beraldi & Maria Bruni & Antonio Violi, 2012. "Capital rationing problems under uncertainty and risk," Computational Optimization and Applications, Springer, vol. 51(3), pages 1375-1396, April.

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