Robustness of optimal portfolios under risk and stochastic dominance constraints
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References listed on IDEAS
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- Post, Thierry, 2016. "Standard Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 248(3), pages 1009-1020.
- Branda, Martin, 2015. "Diversification-consistent data envelopment analysis based on directional-distance measures," Omega, Elsevier, vol. 52(C), pages 65-76.
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- repec:eee:ejores:v:261:y:2017:i:3:p:984-993 is not listed on IDEAS
- Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
- Escudero, Laureano F. & Garín, María Araceli & Merino, María & Pérez, Gloria, 2016. "On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs," European Journal of Operational Research, Elsevier, vol. 249(1), pages 164-176.
- Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," INDEM - Working Paper Business Economic Series id-16-01, Instituto para el Desarrollo Empresarial (INDEM).
- repec:eee:ejores:v:262:y:2017:i:1:p:299-305 is not listed on IDEAS
- Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
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More about this item
KeywordsRobustness and sensitivity analysis; Markowitz mean–variance model; Probabilistic risk constraints; Contamination technique; First order stochastic dominance constraints; Portfolio efficiency tests;
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