Portfolio Optimization With Stochastic Dominance Constraints
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- Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
References listed on IDEAS
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More about this item
Keywordsportfolio optimization; stochastic dominance; risk; utility functions; duality;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-CFN-2004-03-14 (Corporate Finance)
- NEP-CMP-2004-02-23 (Computational Economics)
- NEP-FIN-2004-02-23 (Finance)
- NEP-RMG-2004-03-14 (Risk Management)
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