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A note on portfolio selection and stochastic dominance

Menegatti, Mario - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 327-331

Persistent link: https://www.econbiz.de/10011642697

On exact and approximate stochastic dominance strategies for portfolio selection

Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: European journal of operational research : EJOR 259 (2017) 1, pp. 322-329

Persistent link: https://www.econbiz.de/10011644989

Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood

Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165

Persistent link: https://www.econbiz.de/10011646360

The weakening value premium in the Australian and New Zealand stock markets

Chung, Yi-Tsai; Hsu, Chuan-Hao; Ke, Mei-chu; Liaob, … - In: Pacific-Basin finance journal 36 (2016), pp. 123-133

Persistent link: https://www.econbiz.de/10011668767

Sufficient conditions of stochastic dominance for general transformations and its application in option strategy

Gao, Jianwei; Feng, Zhao - 2017

A counterexample is presented to show that the sufficient condition for one transformation dominating another by the second degree stochastic dominance, proposed by Theorem 5 of Levy (Stochastic dominance and expected utility: Survey and analysis, 1992), does not hold. Then, by restricting the...

Persistent link: https://www.econbiz.de/10011673974

Stochastic dominance and the omega ratio

Fong, Wai-mun - In: Finance research letters 17 (2016), pp. 7-9

Persistent link: https://www.econbiz.de/10011596196

The performance of Taiwanese firms after a share repurchase announcement

Hsu, Chuan-Hao; Fung, Hung-gay; Chang, Yi-Ping - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1251-1269

Persistent link: https://www.econbiz.de/10011596252

Diversification versus optimality : is there really a diversification puzzle?

Ortobelli Lozza, Sergio; Wong, Wing Keung; Fabozzi, Frank J. - In: Applied economics 50 (2018) 43, pp. 4671-4693

Persistent link: https://www.econbiz.de/10012061607

Portfolio optimization based on stochastic dominance and empirical likelihood

Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10012110374

Is wine a good choice for investment?

Bouri, Elie; Gupta, Rangan; Wong, Wing Keung; Zhu, Zhenzhen - In: Pacific-Basin finance journal 51 (2018), pp. 171-183

Persistent link: https://www.econbiz.de/10012035143