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Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10011772356

Linear tests for decreasing absolute risk aversion stochastic dominance

Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629

Persistent link: https://www.econbiz.de/10011304114

Ambiguity in risk preferences in robust stochastic optimization

Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225

Persistent link: https://www.econbiz.de/10011503281

Testing for the stochastic dominance efficiency of a given portfolio

Linton, Oliver; Post, Thierry; Whang, Yoon-jae - In: The econometrics journal 17 (2014) 2, pp. 59-74

Persistent link: https://www.econbiz.de/10010498726

Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69

Persistent link: https://www.econbiz.de/10011714373

Enhanced index tracking with CVaR-based ratio measures

Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020

Persistent link: https://www.econbiz.de/10012290853

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

Optimization with stochastic preferences based on a general class of scalarization functions

Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486

Persistent link: https://www.econbiz.de/10011845995

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 573-585

Persistent link: https://www.econbiz.de/10012178998

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