Similar Search Results

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

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

Conditional value-at-risk

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

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