Narrow search
Showing 1 - 10 of 78
Cover Image
Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
Cover Image
Stochastic Dominance and Risk Measure : A Decision-Theoretic Foundation for VAR and C-Var
Wong, Wing-Keung; Ma, Chenghu - 2010
This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...
Persistent link: https://www.econbiz.de/10014057675
Cover Image
Gains from diversification on convex combinations: a majorization and stochastic dominance approach
Egozcue, Martin; Wong, Wing Keung - In: European journal of operational research : EJOR 200 (2009/10) 3, pp. 893-900
Persistent link: https://www.econbiz.de/10003892398
Cover Image
On the Markowitz meanvariance analysis of self-financing portfolios
Bai, Zhidong; Liu, Huixia; Wong, Wing Keung - In: Risk and decision analysis 1 (2009) 1, pp. 35-42
Persistent link: https://www.econbiz.de/10003935634
Cover Image
Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
Bai, Zhidong; Liu, Huixia; Wong, Wing Keung - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 639-667
Persistent link: https://www.econbiz.de/10003937548
Cover Image
Impact of option strategies in financial portfolios performance : mean-variance and stochastic dominance approaches
Abid, Fathi; Mroua, Mourad; Wong, Wing Keung - In: Finance India : the quarterly journal of Indian … 23 (2009) 2, pp. 503-526
Persistent link: https://www.econbiz.de/10008840539
Cover Image
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
Leung, Pui-lam; Wong, Wing Keung - In: Journal of risk 10 (2007/08) 3, pp. 15-30
Persistent link: https://www.econbiz.de/10003698907
Cover Image
Do winners perform better than losers? : a stochastic dominance approach
Wong, Wing Keung; Thompson, Howard Elliott; Wei, Steven X. - In: Advances in quantitative analysis of finance and … 4 (2006), pp. 219-254
Persistent link: https://www.econbiz.de/10003430919
Cover Image
An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
Leung, Pui-lam; Ng, Hon-yip; Wong, Wing Keung - In: European journal of operational research : EJOR 222 (2012) 1, pp. 85-95
Persistent link: https://www.econbiz.de/10009569579
Cover Image
Do investors like to diversify? : a study of Markowitz preferences
Egozcue, Martín; García, Luis Fuentes; Wong, Wing Keung; … - In: European journal of operational research : EJOR 215 (2011) 1, pp. 188-193
Persistent link: https://www.econbiz.de/10009313984