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The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Persistent link: https://www.econbiz.de/10011543019
for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …
Persistent link: https://www.econbiz.de/10012025262