[HTML][HTML] Fifty years of portfolio optimization
The allocation of resources to alternative investment opportunities is one of the most
important decisions organizations and individuals face. These decisions can be guided by …
important decisions organizations and individuals face. These decisions can be guided by …
Investment decisions under uncertainty—a methodological review on forest science studies
P Hildebrandt, T Knoke - Forest Policy and Economics, 2011 - Elsevier
Several parametric and non-parametric approaches have been developed to value financial
assets. Yet, financial valuation techniques have only slowly percolated into disciplines …
assets. Yet, financial valuation techniques have only slowly percolated into disciplines …
Portfolio optimization based on almost second-degree stochastic dominance
In portfolio optimization, the computational complexity of implementing almost stochastic
dominance has limited its practical applications. In this study, we introduce an optimization …
dominance has limited its practical applications. In this study, we introduce an optimization …
Does risk seeking drive stock prices? A stochastic dominance analysis of aggregate investor preferences and beliefs
We use various stochastic dominance criteria that account for (local) risk seeking to analyze
market portfolio efficiency relative to benchmark portfolios formed on market capitalization …
market portfolio efficiency relative to benchmark portfolios formed on market capitalization …
[HTML][HTML] Sensitivity of environmental performance index based on stochastic dominance
M Pinar - Journal of Environmental Management, 2022 - Elsevier
Abstract The Environmental Performance Index (EPI) is a popular sustainability index. It is a
composite index which ranks 180 countries based on their environmental performance in 32 …
composite index which ranks 180 countries based on their environmental performance in 32 …
Stochastic dominance and mean–variance measures of profit and loss for business planning and investment
WK Wong - European Journal of Operational Research, 2007 - Elsevier
In this paper, we first extend the stochastic dominance (SD) theory by introducing the first
three orders of both ascending SD (ASD) and descending SD (DSD) to decisions in …
three orders of both ascending SD (ASD) and descending SD (DSD) to decisions in …
Portfolio choice based on third-degree stochastic dominance
We develop an optimization method for constructing investment portfolios that dominate a
given benchmark portfolio in terms of third-degree stochastic dominance. Our approach …
given benchmark portfolio in terms of third-degree stochastic dominance. Our approach …
[BOOK][B] Econometric analysis of stochastic dominance: Concepts, methods, tools, and applications
YJ Whang - 2019 - books.google.com
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its
related concepts in a unified framework. A method for ordering probability distributions …
related concepts in a unified framework. A method for ordering probability distributions …
Portfolio diversification based on stochastic dominance under incomplete probability information
Identifying efficient portfolio diversification strategies subject to stochastic dominance (SD)
criteria usually assumes that the state-space of future asset returns can be captured by a …
criteria usually assumes that the state-space of future asset returns can be captured by a …
Diversification benefits of commodities: A stochastic dominance efficiency approach
We revisit the question whether commodities should be included in investors' portfolios. We
employ for the first time a stochastic dominance efficiency (SDE) approach to construct …
employ for the first time a stochastic dominance efficiency (SDE) approach to construct …