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Extensions on Stochastic Dominance Efficiency Tests
Kallio, Markku - 2018
We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....
Persistent link: https://www.econbiz.de/10012928166
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Advancements in stochastic dominance efficiency tests
Kallio, Markku; Hardoroudi, Nasim Dehghan - In: European journal of operational research : EJOR 276 (2019) 2, pp. 790-794
Persistent link: https://www.econbiz.de/10012003669
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Currency hedging for a multi-national firm
Kallio, Markku; Koivu, Matti; Wang, Rudan - In: Handbook of recent advances in commodity and financial …, (pp. 297-320). 2018
Persistent link: https://www.econbiz.de/10011898659
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Second-order stochastic dominance constrained portfolio optimization : theory and computational tests
Kallio, Markku; Hardoroudi, Nasim Dehghan - In: European journal of operational research : EJOR 264 (2018) 2, pp. 675-685
Persistent link: https://www.econbiz.de/10011801909