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On consistency of stochastic dominance and mean–semideviation models · Study

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ArticleOn consistency of stochastic dominance and mean–semideviation models

Włodzimierz Ogryczak2001

Article2001

On consistency of stochastic dominance and mean–semideviation models

Włodzimierz Ogryczak · Andrzej Ruszczyński

257 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Multi-Criteria Decision Making Decision-Making and Behavioral Economics

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References

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 1999From stochastic dominance to mean-risk models: Semideviations as risk measures 1978Stochastic dominance : an approach to decision-making under risk

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2006Conditional Risk Mappings 2005Portfolio optimization with stochastic dominance constraints 2006Conditional value at risk and related linear programming models for portfolio optimization 2005Convexity and decomposition of mean-risk stochastic programs 2010Modeling and optimization of risk 2005Stochastic orders and risk measures: Consistency and bounds 2007Higher moment coherent risk measures

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2001Extending the MAD portfolio optimization model to incorporate downside risk aversionarticle · 7 shared references 1999From stochastic dominance to mean-risk models: Semideviations as risk measuresarticle · 6 shared references 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysisarticle · 6 shared references 2005Portfolio optimization with stochastic dominance constraintsarticle · 6 shared references 2003Frontiers of Stochastically Nondominated Portfoliosarticle · 6 shared references 2002Dual Stochastic Dominance and Related Mean-Risk Modelsarticle · 5 shared references

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Year2001

Typearticle

Published2001-01-01

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations257

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/pl00011396

openalex_workW1972069020

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