We formulate a portfolio planning model which is based on Second-order Stochastic Dominance as the choice criterion. This model is an enhanced version of the multi-objective model proposed by Roman, Darby-Dowman, and Mitra (2006); the model compares the scaled values of the different objectives, representing tails at different confidence levels of the resulting distribution. The proposed model can be formulated as risk minimisation model where the objective function is a convex risk measure; we characterise this risk measure and the resulting optimisation problem. Moreover, our formulation offers a natural generalisation of the SSD-constrained model of Dentcheva and Ruszczyński (2006). A cutting plane-based solution method for the proposed...
We begin this paper by first comparing the theory of present-day portfolio selection, which is a the...
Portfolio selection techniques must provide decision-makers with a dynamic model framework that inco...
Mean-risk models have been widely used in portfolio optimisation. However, such models may produce ...
We formulate a portfolio planning model which is based on Second-order Stochastic Dominance as the c...
Second order stochastic dominance is an optimal rule for portfolio selection of risk averse investor...
The public defense on 8th May 2020 at 12:15 will be organized via remote technology. Link: https://...
Second-order stochastic dominance (SSD) is widely recognised as an important decision criteria in po...
Portfolio decision analysis models support decisions on the allocation of resources among assets wit...
This dissertation consists of three individual publications addressing on two important classes of d...
Constructing portfolios based on second-order stochastic dominance (SSD) is theoretically attractive...
In the last decade, a few models of portfolio construction have been proposed which apply Second Ord...
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constrain...
AbstractSecond order Stochastic Dominance (SSD) has a well recognised importance in portfolio select...
Over the last year or so, we have witnessed the global effects and repercussions related to the fiel...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
We begin this paper by first comparing the theory of present-day portfolio selection, which is a the...
Portfolio selection techniques must provide decision-makers with a dynamic model framework that inco...
Mean-risk models have been widely used in portfolio optimisation. However, such models may produce ...
We formulate a portfolio planning model which is based on Second-order Stochastic Dominance as the c...
Second order stochastic dominance is an optimal rule for portfolio selection of risk averse investor...
The public defense on 8th May 2020 at 12:15 will be organized via remote technology. Link: https://...
Second-order stochastic dominance (SSD) is widely recognised as an important decision criteria in po...
Portfolio decision analysis models support decisions on the allocation of resources among assets wit...
This dissertation consists of three individual publications addressing on two important classes of d...
Constructing portfolios based on second-order stochastic dominance (SSD) is theoretically attractive...
In the last decade, a few models of portfolio construction have been proposed which apply Second Ord...
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constrain...
AbstractSecond order Stochastic Dominance (SSD) has a well recognised importance in portfolio select...
Over the last year or so, we have witnessed the global effects and repercussions related to the fiel...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
We begin this paper by first comparing the theory of present-day portfolio selection, which is a the...
Portfolio selection techniques must provide decision-makers with a dynamic model framework that inco...
Mean-risk models have been widely used in portfolio optimisation. However, such models may produce ...