Robustness of optimal portfolios under risk and stochastic dominance constraints
Year of publication: |
2014
|
---|---|
Authors: | Dupačová, Jitka ; Kopa, Miloš |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 434-441
|
Publisher: |
Elsevier |
Subject: | Robustness and sensitivity analysis | Markowitz mean–variance model | Probabilistic risk constraints | Contamination technique | First order stochastic dominance constraints | Portfolio efficiency tests |
-
Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka, (2014)
-
Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping, (2011)
-
Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping, (2011)
- More ...
-
Robustness in stochastic programs with risk constraints
Dupačová, Jitka, (2012)
-
Bond portfolio management via stochastic programming
Bertocchi, Marida, (2006)
-
Stress testing for VaR and CVaR
Dupačová, Jitka, (2009)
- More ...