Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood
Thierry Post, Valerio Potì
| Year of publication: |
January 2017
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|---|---|
| Authors: | Post, Thierry ; Potì, Valerio |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 1, p. 153-165
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| Subject: | stochastic dominance | relative entropy | empirical likelihood | convex programming | utility theory | portfolio theory | asset pricing | Entropie | Entropy | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2015.2325 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011646360