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Portfolio Efficient Sets

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Cited by:

  1. McCamley, Francis P. & Rudel, Richard K., 2001. "Shadow Price Implications Of Several Stochastic Dominance Criteria," 2001 Annual Meeting, July 8-11, 2001, Logan, Utah 36163, Western Agricultural Economics Association.
  2. Araujo, Aloisio & Chateauneuf, Alain & Faro, José Heleno, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Journal of Economic Theory, Elsevier, vol. 173(C), pages 257-288.
  3. Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
  4. Zhang, Duo, 2008. "Non-convex optimal portfolio sets and constant relative risk aversion," Journal of Economics and Business, Elsevier, vol. 60(6), pages 551-555.
  5. Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
  6. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  7. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581, Elsevier.
  8. Dybvig, Philip & Liu, Fang, 2018. "On investor preferences and mutual fund separation," Journal of Economic Theory, Elsevier, vol. 174(C), pages 224-260.
  9. McCamley, Francis & Kliebenstein, James B., 1984. "Describing and Determining the Complete Set of Target MOTAD Solutions," 1984 Annual Meeting, August 5-8, Ithaca, New York 278966, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  10. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  11. Dana, R. A., 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 619-639, September.
  12. Rose‐Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634, October.
  13. McCamley, Francis & Kliebenstein, James B., 1986. "Necessary Conditions For Dsd Efficiency Of Mixtures Of Risky Alternatives," 1986 Annual Meeting, July 27-30, Reno, Nevada 278149, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  14. Shalit, Haim & Yitzhaki, Shlomo, 1985. "Evaluating the Mean-Gini Approach to Portfolio Selection," Working Papers 232632, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
  15. Post, G.T., 2003. "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  16. Marcello Basili & Carlo Zappia, 2018. "Ellsberg’s Decision Rules and Keynes’s Long-Term Expectations," Department of Economics University of Siena 777, Department of Economics, University of Siena.
  17. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  18. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
  19. Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
  20. McCamley, Francis P. & Rudel, Richard K., 2000. "Shadow Price Implications Of Second Degree Stochastic Dominance Efficiency," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36370, Western Agricultural Economics Association.
  21. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
  22. McCamley, Francis P. & Kliebenstein, James B., 1987. "Identifying The Set Of Ssd-Efficient Mixtures Of Risky Alternatives," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(1), pages 1-9, July.
  23. Larry G. Epstein & Angelo Melino, 1995. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 597-618.
  24. Wetzstein, Michael E. & Szmedra, Philip I. & McClendon, Ronald W. & Edwards, David M., 1988. "Efficiency Criteria And Risk Aversion: An Empirical Evaluation," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(1), pages 1-8, July.
  25. Thorlund-Petersen, Lars, 2001. "Third-degree stochastic dominance and axioms for a convex marginal utility function," Mathematical Social Sciences, Elsevier, vol. 41(2), pages 167-199, March.
  26. McCamley, Francis, 1988. "Approximating A Gsd-Efficient Set Of Mixtures Of Risky Alternatives For Risk Averse Decision Makers," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270301, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  27. Post, Thierry, 2005. "A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efec," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 7-25, Abril.
  28. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
  29. Kolokolova, Olga & Le Courtois, Olivier & Xu, Xia, 2022. "Is the index efficient? A worldwide tour with stochastic dominance," Journal of Financial Markets, Elsevier, vol. 59(PB).
  30. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  31. Jun Jiang, 2013. "Application of Modern Portfolio Theory In The Case Of Thai Equity Market," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 1(2), pages 33-42.
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