Robust reward-risk performance measures with weakly second-order stochastic dominance constraints
Noureddine Kouaissah
| Year of publication: |
2023
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|---|---|
| Authors: | Kouaissah, Noureddine |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 88.2023, p. 53-62
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| Subject: | Elliptical distributions | Portfolio selection | Reward-risk performance measures | Robust portfolio optimization | Stochastic dominance | Portfolio-Management | Theorie | Theory | Performance-Messung | Performance measurement | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2022.12.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014427899