Add to ORKGThe main topic of this thesis is the application of stochastic dominance constrains to portfolio optimization problems. First, we recall Markowitz model. Then we present portfolio selection problems with stochastic dominance constraints. Finally, we compare performance of these two approaches in an empirical study presented in the last chapter
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constrain...
This paper surveys the use of stochastic dominance to decision making under uncertainty. The first p...
This project is focused on stochastic models and methods and their application in portfolio optimiza...
This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basi...
One recent and promising strategy for Enhanced Indexation is the selection of portfolios that stocha...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
In the paper models of share portfolio selection with first order or second order almost stochastic ...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
The formation of the optimum portfolio based on risk and return is one of the most important decisio...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
Title: Multivariate stochastic dominance and its application in portfolio optimization Problems Auth...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constrain...
This paper surveys the use of stochastic dominance to decision making under uncertainty. The first p...
This project is focused on stochastic models and methods and their application in portfolio optimiza...
This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basi...
One recent and promising strategy for Enhanced Indexation is the selection of portfolios that stocha...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
In the paper models of share portfolio selection with first order or second order almost stochastic ...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
The formation of the optimum portfolio based on risk and return is one of the most important decisio...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
One recent and promising strategy for Enhanced Indexation [1,5] is the selection of portfolios that ...
Title: Multivariate stochastic dominance and its application in portfolio optimization Problems Auth...
For stochastic optimization problems involving dominance constraints of the second order, using the ...
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constrain...
This paper surveys the use of stochastic dominance to decision making under uncertainty. The first p...
This project is focused on stochastic models and methods and their application in portfolio optimiza...