Inverse stochastic dominance constraints and rank dependent expected utility theory
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dentcheva Darinka & Stock Gregory J. & Rekeda Ludmyla, 2011. "Mean-risk tests of stochastic dominance," Statistics & Risk Modeling, De Gruyter, vol. 28(2), pages 97-118, May.
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- Neslihan Fidan Keçeci & Viktor Kuzmenko & Stan Uryasev, 2016. "Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(4), pages 1-14, October.
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More about this item
KeywordsStochastic Dominance; Lorenz Curve; Yaari's Dual Utility; Rank Dependent Expected Utility; Optimality; Duality;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Micro-Based Behavioral Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
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