Semivariance and Stochastic Dominance: A Comparison
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References listed on IDEAS
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- Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999.
"From stochastic dominance to mean-risk models: Semideviations as risk measures,"
European Journal of Operational Research,
Elsevier, vol. 116(1), pages 33-50, July.
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- Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
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- repec:stn:sotoec:1311 is not listed on IDEAS
- 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.
- Jun-ya Gotoh & Hiroshi Konno, 2000. "Third Degree Stochastic Dominance and Mean-Risk Analysis," Management Science, INFORMS, vol. 46(2), pages 289-301, February.
- Anderson, Anders E. S., 2004. "One for the Gain, Three for the Loss," SIFR Research Report Series 20, Institute for Financial Research.
- 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.
- W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis.
- 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.
- Gonzalo, Jesús & Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
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