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Comparison of mean-risk efficient portfolios in Asia-Pacific capital markets

Kopa, Miloš; Tichý, Tomáš - In: Emerging markets finance & trade : a journal of the … 50 (2014) 1, pp. 226-240

Persistent link: https://www.econbiz.de/10010402573

Predictions, nonlinearities and portfolio choice : applications of artificial neural networks to German market indexes

Kruse, Friedrich Christian - 2012 - 1. Aufl

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A heuristic approach to the index tracking problem : a case study of the Tehran Exchange Price Index

Varsei, Mohsen; Shams, Naser; Fahimnia, Behnam; … - In: Asian Academy of Management journal : AAMJ 18 (2013) 1, pp. 19-34

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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