[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests. (2018). Kallio, Markku ; Hardoroudi, Nasim Dehghan.
In: European Journal of Operational Research.
RePEc:eee:ejores:v:264:y:2018:i:2:p:675-685.

Full description at Econpapers || Download paper

Cited: 11

Citations received by this document

Cites: 40

References cited by this document

Cocites: 30

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. An improved criterion for almost marginal conditional stochastic dominance. (2024). Yang, Guo-Jun ; Chang, Jow-Ran ; Liu, Wei-Han.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:62:y:2024:i:3:d:10.1007_s11156-023-01235-3.

    Full description at Econpapers || Download paper

  2. Stochastic dominance algorithms with application to mutual fund performance evaluation. (2023). S. V. D. Nageswara Rao, ; Venkataraman, Sree Vinutha.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:1:p:681-698.

    Full description at Econpapers || Download paper

  3. Portfolio diversification and sustainable assets from new perspectives. (2023). Kanamura, Takashi.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:7:d:10.1057_s41260-023-00336-x.

    Full description at Econpapers || Download paper

  4. Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

    Full description at Econpapers || Download paper

  5. Eco-friendly container transshipment route scheduling problem with repacking operations. (2022). Liu, Ming ; Chu, Chengbin ; Zhang, E.
    In: Journal of Combinatorial Optimization.
    RePEc:spr:jcomop:v:43:y:2022:i:5:d:10.1007_s10878-020-00619-8.

    Full description at Econpapers || Download paper

  6. Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm. (2022). Xiao, Xiantao ; Wu, Jia ; Zhang, Yule.
    In: INFORMS Journal on Computing.
    RePEc:inm:orijoc:v:34:y:2022:i:6:p:2989-3006.

    Full description at Econpapers || Download paper

  7. Second order of stochastic dominance efficiency vs mean variance efficiency. (2021). Truck, Stefan ; Lozza, Sergio Ortobelli ; Malavasi, Matteo.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:290:y:2021:i:3:p:1192-1206.

    Full description at Econpapers || Download paper

  8. Portfolio diversification based on stochastic dominance under incomplete probability information. (2020). Kuosmanen, Timo ; Xu, Peng ; Liesio, Juuso.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:286:y:2020:i:2:p:755-768.

    Full description at Econpapers || Download paper

  9. Eco-friendly container transshipment route scheduling problem with repacking operations. (). Liu, Ming ; Chu, Chengbin ; Zhang, E.
    In: Journal of Combinatorial Optimization.
    RePEc:spr:jcomop:v::y::i::d:10.1007_s10878-020-00619-8.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Armbruster, B. ; Delage, E. Decision making under uncertainty when preference information is incomplete. 2015 Management Science. 61 111-128

  2. Bawa, V. Optimal rules for ordering uncertain prospects. 1975 Journal of Financial Economics. 1 95-121

  3. Bawa, V. ; Bodurtha, N. ; Roa, M. ; Suri, H. On determination of stochastic dominance optimal sets. 1985 Journal of Finance. 40 417-431

  4. Benders, J.F. Partitioning procedures for solving mixed-variables programming problems. 1962 Numerische Mathematik. 4 238-252
    Paper not yet in RePEc: Add citation now
  5. Bruni, R. ; Cesarone, F. ; Scozzari, A. ; Tardella, F. On exact and approximate stochastic dominance strategies for portfolio selection. 2017 European Journal of Operational Research. 259 322-329

  6. Dantzig, G.B. ; Wolfe, P. The decomposition algorithm for linear programs. 1961 Econometrica: Journal of the Econometric Society. 29 767-778
    Paper not yet in RePEc: Add citation now
  7. Dentcheva, D. ; Ruszczynski, A. Optimization with stochastic dominance constraints. 2003 SIAM Journal on Optimization. 14 548-566
    Paper not yet in RePEc: Add citation now
  8. Dentcheva, D. ; Ruszczynski, A. Portfolio optimization with stochastic dominance constraints. 2006 Journal of Banking & Finance. 30 433-451

  9. Dupăcová, J. ; Kopa, M. Robustness of optimal portfolios under risk and stochastic dominance constraints. 2014 European Journal of Operational Research. 234 434-441

  10. Fábián, C.I. ; Mitra, G. ; Roman, D. ; Zverovich, V. ; Vajnai, T. ; Csizmás, E. Portfolio choice models based on second-order stochastic dominance measures: An overview and a computational study. 2011 Stochastic Optimization Methods in Finance and Energy. 163 441-469

  11. Hadar, J. ; Russell, W. Rules for ordering uncertain prospects. 1969 The American Economic Review. 59 25-34

  12. Hanoch, G. ; Levy, H. The efficiency analysis of choices involving risk. 1969 Review of Economic Studies. 36 107-335

  13. Hardy, G.H. ; Littlewood, J.E. ; Polya, G. Inequalities. 1934 Cambridge University Press:
    Paper not yet in RePEc: Add citation now
  14. Hodder, J. ; Jackwerth, J. ; Kolokolova, O. Improved portfolio choice using second-order stochastic dominance. 2015 Review of Finance. 19 1623-1647

  15. Kopa, M. ; Post, T. A general test for SSD portfolio efficiency. 2015 OR Spectrum. 37 703-734
    Paper not yet in RePEc: Add citation now
  16. Kuosmanen, T. Efficient diversification according to stochastic dominance criteria. 2004 Management Science. 50 1390-1406

  17. Kuosmanen, T. Stochastic dominance efficiency tests under diversification. 2001 Helsinki School of Economics and Business Administration:

  18. Leshno, M. ; Levy, H. Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. 2002 Management Science. 48 1074-1085

  19. Levy, H. Stochastic dominance and expected utility: Survey and analysis. 1992 Management Science. 38 555-593

  20. Levy, H. Stochastic dominance: Investment decision making under uncertainty. 2016 Springer:
    Paper not yet in RePEc: Add citation now
  21. Lizyayev, A. Stochastic dominance efficiency of diversified portfolios: Classification, comparison and refinements. 2012 Annals of Operations Research. 196 391-410

  22. Lizyayev, A. ; Ruszczynski, A. Tractable almost stochastic dominance. 2012 European Journal of Operational Research. 218 448-455

  23. Longarela, R. A characterization of the SSD-efficient frontier of portfolio weights by means of a set of mixed-integer linear constraints. 2016 Management Science. 62 3549-3554

  24. Luedtke, J. New formulations for optimization under stochastic dominance constraints. 2008 SIAM Journal on Optimization. 19 1433-1450
    Paper not yet in RePEc: Add citation now
  25. Mangasarian, O.L. Nonlinear programming. 1969 McGraw-Hill: New York
    Paper not yet in RePEc: Add citation now
  26. Ogryczak, W. ; Ruszczynski, A. Dual stochastic dominance and related mean-risk models. 2002 SIAM Journal on Optimization. 13 60-78
    Paper not yet in RePEc: Add citation now
  27. Ogryczak, W. ; Ruszczynski, A. From stochastic dominance to mean-risk models: Semideviations as risk measures. 1999 European Journal of Operational Research. 116 33-50

  28. Ogryczak, W. ; Ruszczynski, A. On consistency of stochastic dominance and mean-semideviation models. 2001 Mathematical Programming, Series B. 89 217-232
    Paper not yet in RePEc: Add citation now
  29. Pflug, G. Some remarks on the value-at-risk and the conditional value-at-risk. 2001 En : Uryasev, S. Probabilistic constrained optimization: Methodology and applications. Kluwer Academic Publishers:
    Paper not yet in RePEc: Add citation now
  30. Post, T. Empirical tests for stochastic dominance efficiency. 2003 Journal of Finance. 58 1905-1932

  31. Post, T. On the dual test for SSD efficiency – With an application to momentum investment strategies. 2008 European Journal of Operational Research. 185 1564-1573

  32. Post, T. ; Kopa, M. Portfolio Choice Based on Third-Degree Stochastic Dominance. 2016 Management Science. Published online in Articles in Advance 15 Aug 2016. -
    Paper not yet in RePEc: Add citation now
  33. Quirk, J. ; Saposnik, R. Admissibility and measurable utility functions. 1962 The Review of Economic Studies. 29 140-146

  34. Rockafellar, R.T. ; Uryasev, S. Conditional value-at-risk for general loss distributions. 2002 Journal of Banking & Finance. 26 1443-1471

  35. Rockafellar, R.T. ; Uryasev, S. Optimization of conditional value-at-risk. 2000 Journal of Risk. 2 21-41
    Paper not yet in RePEc: Add citation now
  36. Ruszczynski, A. ; Vanderbei, R. Frontiers of stochastically nondominated portfolios. 2003 Econometrica. 71 1287-1297

  37. Scaillet, O. ; Topaloglou, N. Testing for stochastic dominance efficiency. 2010 Journal of Business and Economic Statistics. 28 169-180

  38. Shalit, H. ; Yitzhaki, S. Marginal conditional stochastic dominance. 1994 Management Science. 40 670-684

  39. Strassen, V. The existence of probability measures with given marginals. 1965 Annals of Mathematical Statistics. 36 423-439
    Paper not yet in RePEc: Add citation now
  40. Tsetlin, I. ; Winkler, R.L. ; Huang, R.J. ; Tzeng, L.Y. Generalized almost stochastic dominance. 2015 Operations Research. 63 363-377

Cocites

Documents in RePEc which have cited the same bibliography

  1. Personalized fund recommendation with dynamic utility learning. (2025). Wei, Jiaxin ; Liu, Jia.
    In: Financial Innovation.
    RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00720-5.

    Full description at Econpapers || Download paper

  2. Worst-case risk with unspecified risk preferences. (2024). Liu, Haiyan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:116:y:2024:i:c:p:235-248.

    Full description at Econpapers || Download paper

  3. Robust decisions for heterogeneous agents via certainty equivalents. (2024). Schweizer, Nikolaus ; Balter, Anne G.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:317:y:2024:i:1:p:171-184.

    Full description at Econpapers || Download paper

  4. Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei.
    In: Computational Management Science.
    RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x.

    Full description at Econpapers || Download paper

  5. A survey on bilevel optimization under uncertainty. (2023). Schmidt, Martin ; Ljubi, Ivana ; Beck, Yasmine.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:311:y:2023:i:2:p:401-426.

    Full description at Econpapers || Download paper

  6. Incomplete risk-preference information in portfolio decision analysis. (2023). Argyris, Nikolaos ; Kallio, Markku ; Liesio, Juuso.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:304:y:2023:i:3:p:1084-1098.

    Full description at Econpapers || Download paper

  7. Preference robust distortion risk measure and its application. (2023). Xu, Huifu ; Wang, Wei.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:33:y:2023:i:2:p:389-434.

    Full description at Econpapers || Download paper

  8. Fair resource allocation: Using welfare-based dominance constraints. (2022). Yavuz, Mirel ; Karsu, Ozlem ; Argyris, Nikolaos.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:297:y:2022:i:2:p:560-578.

    Full description at Econpapers || Download paper

  9. Rabin’s calibration theorem revisited. (2022). Schweizer, Nikolaus ; Chau, Ki Wai ; Balter, Anne G.
    In: Economics Letters.
    RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004341.

    Full description at Econpapers || Download paper

  10. Persuading Risk-Conscious Agents: A Geometric Approach. (2022). Lingenbrink, David ; Iyer, Krishnamurthy ; Anunrojwong, Jerry.
    In: Papers.
    RePEc:arx:papers:2208.03758.

    Full description at Econpapers || Download paper

  11. Interval-based stochastic dominance: theoretical framework and application to portfolio choices. (2021). Consigli, Giorgio ; Chen, Zhiping ; Liu, Jia.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:307:y:2021:i:1:d:10.1007_s10479-021-04231-9.

    Full description at Econpapers || Download paper

  12. Inverse Optimization of Convex Risk Functions. (2021). Li, Jonathan Yu-Meng.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:11:p:7113-7141.

    Full description at Econpapers || Download paper

  13. An almost robust model for minimizing disruption exposures in supply systems. (2021). Pang, Chee Khiang ; Tan, Chin Hon ; Zhao, Kena.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:295:y:2021:i:2:p:547-559.

    Full description at Econpapers || Download paper

  14. A Review of Robust Operations Management under Model Uncertainty. (2021). Shen, Zuojun Max ; Lu, Mengshi.
    In: Production and Operations Management.
    RePEc:bla:popmgt:v:30:y:2021:i:6:p:1927-1943.

    Full description at Econpapers || Download paper

  15. Robust Decisions for Heterogeneous Agents via Certainty Equivalents. (2021). Schweizer, Nikolaus ; Balter, Anne G.
    In: Papers.
    RePEc:arx:papers:2106.13059.

    Full description at Econpapers || Download paper

  16. Balance in resource allocation problems: a changing reference approach. (2020). Karsu, Ozlem ; Erkan, Hale.
    In: OR Spectrum: Quantitative Approaches in Management.
    RePEc:spr:orspec:v:42:y:2020:i:1:d:10.1007_s00291-020-00578-w.

    Full description at Econpapers || Download paper

  17. Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana.
    In: Papers.
    RePEc:arx:papers:2011.04889.

    Full description at Econpapers || Download paper

  18. Price limits under incomplete preference information based on almost stochastic dominance. (2019). Wiens, Tobias ; Martini, Jan Thomas ; Jahnke, Hermann.
    In: Business Research.
    RePEc:spr:busres:v:12:y:2019:i:1:d:10.1007_s40685-018-0082-2.

    Full description at Econpapers || Download paper

  19. Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-9151-0.

    Full description at Econpapers || Download paper

  20. Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization. (2019). Ulus, Firdevs ; Rudloff, Birgit.
    In: Papers.
    RePEc:arx:papers:1904.09456.

    Full description at Econpapers || Download paper

  21. Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous. (2018). Li, Jonathan Yu-Meng ; Delage, Erick.
    In: Management Science.
    RePEc:inm:ormnsc:v:64:y:2018:i:1:p:327-344.

    Full description at Econpapers || Download paper

  22. Robust decision making using a general utility set. (2018). Hu, Jian ; Mehrotra, Sanjay ; Bansal, Manish .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:269:y:2018:i:2:p:699-714.

    Full description at Econpapers || Download paper

  23. Capturing preferences for inequality aversion in decision support. (2018). Argyris, Nikos ; Karsu, Ozlem ; Morton, Alec.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:264:y:2018:i:2:p:686-706.

    Full description at Econpapers || Download paper

  24. Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests. (2018). Kallio, Markku ; Hardoroudi, Nasim Dehghan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:264:y:2018:i:2:p:675-685.

    Full description at Econpapers || Download paper

  25. Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions. (2018). Xu, Huifu ; Huang, Wenjie ; Haskell, William B.
    In: Papers.
    RePEc:arx:papers:1805.06632.

    Full description at Econpapers || Download paper

  26. Aspects of optimization with stochastic dominance. (2017). Shen, Max Z ; Shanthikumar, George J ; Haskell, William B.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:253:y:2017:i:1:d:10.1007_s10479-016-2299-9.

    Full description at Econpapers || Download paper

  27. Between First- and Second-Order Stochastic Dominance. (2017). Winkler, Robert L ; Tsetlin, Ilia ; Scarsini, Marco ; Muller, Alfred.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:9:p:2933-2947.

    Full description at Econpapers || Download paper

  28. Portfolio Choice Based on Third-Degree Stochastic Dominance. (2017). Kopa, Milo ; Post, Thierry.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:10:p:3381-3392.

    Full description at Econpapers || Download paper

  29. Nuclear emergency decision support: A behavioural OR perspective. (2017). Argyris, Nikolaos ; French, Simon.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:262:y:2017:i:1:p:180-193.

    Full description at Econpapers || Download paper

  30. Higher-degree stochastic dominance optimality and efficiency. (2017). Fang, YI ; Post, Thierry.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:261:y:2017:i:3:p:984-993.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 07:51:17 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.