Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum
Year of publication: |
2015
|
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Authors: | Post, Thierry ; Kopa, Miloš |
Publisher: |
Istanbul : Koç University-TÜSİAD Economic Research Forum (ERF) |
Subject: | Portfolio choice | Stochastic dominance | Semi-variance | Quadratic programming | Enhanced indexing | Industry momentum |
Series: | Working Paper ; 1527 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 851379516 [GVK] hdl:10419/166722 [Handle] |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice |
Source: |
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Post, Thierry, (2015)
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Portfolio choice based on third-degree stochastic dominance
Post, Thierry, (2017)
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Portfolio Selection – A Technical Note
Martins, Ana Paula, (2012)
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General linear formulations of stochastic dominance criteria
Post, Thierry, (2013)
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A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion
Kopa, Miloš, (2009)
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Post, Thierry, (2015)
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