LIZYAYEV, ANDREY - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250036-1
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We review classic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to a diversified set of assets and generalize them in the following aspects. First,...