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Portfolio selection with higher moments and application on Zagreb Stock Exchange

Škrinjaric, Tihana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10010258935

Portfoliooptimierung bei Ansteckungseffekten zwischen Banken : ein copulatheoretischer Ansatz

Ifrim, Sandra Gabriela - 2014 - 1. Aufl

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Behavioral portfolio selection : asymptotics and stability along a sequence of models

Reichlin, Christian - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 51-85

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Financial risk modelling and portfolio optimization with R

Pfaff, Bernhard - 2016 - Second edition

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Uncertain portfolio optimization

Qin, Zhongfeng - 2016

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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