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From stochastic dominance to mean-risk models: Semideviations as risk measures · Study

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ArticleFrom stochastic dominance to mean-risk models: Semideviations as risk measures

Włodzimierz Ogryczak1999

Article1999

From stochastic dominance to mean-risk models: Semideviations as risk measures

Włodzimierz Ogryczak · Andrzej Ruszczyński

532 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Probability and Statistical Research Decision-Making and Behavioral Economics

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 532 citations exist upstream.

References

1952PORTFOLIO SELECTION*1952Portfolio Selection 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1969The Efficiency Analysis of Choices Involving Risk 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1992Stochastic Dominance and Expected Utility: Survey and Analysis 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference

Cited by

2002Dual Stochastic Dominance and Related Mean-Risk Models 2006Optimization of Convex Risk Functions 2003Stochastic Programming Models 2011Risk-averse two-stage stochastic programming with an application to disaster management 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis 2003Optimization with Stochastic Dominance Constraints 2001On consistency of stochastic dominance and mean–semideviation models 2006Conditional Risk Mappings

Details

Year1999

Typearticle

Published1999-07-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations532

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/s0377-2217(98)00167-2

openalex_workW1968782695

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