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On consistency of stochastic dominance and mean–semideviation models
7 references·16 citing·39 second hop
On consistency of stochastic dominance and mean–semideviation models (2001)On consistency of stochastic dominance an…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Stochastic dominance : an approach to decision-making under risk (1978)Stochastic dominance : an app…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Investigating risk and robustness measures for supply chain network design under demand uncertainty: A case study of glass supply chain (2015)Investigating risk and robust…A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk (2011)A Multiproduct Risk-Averse Ne…Modeling and optimization of risk (2010)Modeling and optimization of …Optimal Financial Portfolios (2007)Optimal Financial PortfoliosMean-risk models using two risk measures: a multi-objective approach (2007)Mean-risk models using two ri…Higher moment coherent risk measures (2007)Higher moment coherent risk m…A risk-averse newsvendor with law invariant coherent measures of risk (2007)A risk-averse newsvendor with…Portfolio construction based on stochastic dominance and target return distributions (2006)Portfolio construction based …Conditional value at risk and related linear programming models for portfolio optimization (2006)Conditional value at risk and…Conditional Risk Mappings (2006)Conditional Risk MappingsStochastic Programming: Optimization When Uncertainty Matters (2005)Stochastic Programming: Optim…Stochastic orders and risk measures: Consistency and bounds (2005)Stochastic orders and risk me…Portfolio optimization with stochastic dominance constraints (2005)Portfolio optimization with s…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Convexity and decomposition of mean-risk stochastic programs (2005)Convexity and decomposition o…Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints (2004)Optimality and duality theory…Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)The Utility Analysis of Choices Involving Risk (1948)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Master funds in portfolio analysis with general deviation measures (2005)Twenty years of linear programming based portfolio optimization (2013)Mean-VaR portfolio optimization: A nonparametric approach (2017)Prospect theory: An analysis of decision under risk (1988)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of games and economic behavior (2019)Convex measures of risk and trading constraints (2002)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Stochastic programming approach to optimization under uncertainty (2007)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)Utility Theory for Decision Making (1971)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)New strategies and a new paradigm for Shariah-compliant portfolio optimization (2009)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Decision making with incomplete information (1987)Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)
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References

  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 1978Stochastic dominance : an approach to decision-making under risk230 cited

Cited by

  • 2006Conditional Risk Mappings251 cited
  • 2005Portfolio optimization with stochastic dominance constraints224 cited
  • 2006Conditional value at risk and related linear programming models for portfolio optimization221 cited
  • 2005Convexity and decomposition of mean-risk stochastic programs191 cited
  • 2010Modeling and optimization of risk168 cited
  • 2005Stochastic orders and risk measures: Consistency and bounds138 cited
  • 2007Higher moment coherent risk measures132 cited
  • 2015Investigating risk and robustness measures for supply chain network design under demand uncertainty: A case study of glass supply chain

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127 cited
  • 2005Stochastic Programming: Optimization When Uncertainty Matters120 cited
  • 2005Polyhedral Risk Measures in Stochastic Programming119 cited
  • 2007Mean-risk models using two risk measures: a multi-objective approach118 cited
  • 2006Portfolio construction based on stochastic dominance and target return distributions113 cited
  • 2011A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk112 cited
  • 2007A risk-averse newsvendor with law invariant coherent measures of risk110 cited
  • 2007Optimal Financial Portfolios109 cited
  • 2004Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints105 cited