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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

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Applied asset and risk management : a guide to modern portfolio management and behavior-driven markets

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Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

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Portfolio selection based on Asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation

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