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Frontiers of Stochastically Nondominated Portfolios
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Frontiers of Stochastically Nondominated Portfolios (2003)Frontiers of Stochastically Nondominated …Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…On consistency of stochastic dominance and mean–semideviation models (2001)On consistency of stochastic …From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Coherent Measures of Risk (1999)Coherent Measures of RiskA Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…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, Mean Variance, and Gini's Mean Difference (1982)Stochastic Dominance, Mean Va…A General Definition of the Lorenz Curve (1971)A General Definition of the L…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Decision and value theory (1964)Decision and value theoryAdmissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Methods of Measuring the Concentration of Wealth (1905)Methods of Measuring the Conc…On exact and approximate stochastic dominance strategies for portfolio selection (2016)On exact and approximate stoc…A linear risk-return model for enhanced indexation in portfolio optimization (2014)A linear risk-return model fo…Choquet Expected Utility (2013)Choquet Expected UtilityTractable Almost Stochastic Dominance (2011)Tractable Almost Stochastic D…Robustness in stochastic programs with risk constraints (2011)Robustness in stochastic prog…Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition (2010)Risk-Averse Two-Stage Stochas…Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming (2009)Large-scale MV efficient fron…A second-order stochastic dominance portfolio efficiency measure (2008)A second-order stochastic dom…Risk-adjusted probability measures in portfolio optimization with coherent measures of risk (2007)Risk-adjusted probability mea…Data envelopment analysis of mutual funds based on second-order stochastic dominance (2007)Data envelopment analysis of …Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse (2003)Risk Aversion via Excess Prob…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)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)Prospect theory: An analysis of decision under risk (1988)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Chapter 2 Measurement of inequality (2000)Using Lorenz curves to assess public transport equity (2011)THE LAW OF CRIME CONCENTRATION AND THE CRIMINOLOGY OF PLACE* (2015)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Optimal rules for ordering uncertain prospects (1975)Lectures on Stochastic Programming: Modeling and Theory (2009)Linear Measures of Income Inequality (1976)The Gini Index and Measures of Inequality (2010)Extrinsic versus Intrinsic Rewards for Contributing Reviews in an Online Platform (2018)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1905Methods of Measuring the Concentration of Wealth2,281 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
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  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1971A General Definition of the Lorenz Curve620 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited
  • 1964Decision and value theory302 cited
  • 2001On consistency of stochastic dominance and mean–semideviation models

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257 cited

Cited by

  • 2007Data envelopment analysis of mutual funds based on second-order stochastic dominance90 cited
  • 2003Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse84 cited
  • 2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition79 cited
  • 2016On exact and approximate stochastic dominance strategies for portfolio selection79 cited
  • 2009Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming55 cited
  • 2011Tractable Almost Stochastic Dominance54 cited
  • 2011Robustness in stochastic programs with risk constraints53 cited
  • 2008A second-order stochastic dominance portfolio efficiency measure49 cited
  • 2014A linear risk-return model for enhanced indexation in portfolio optimization45 cited
  • 2007Risk-adjusted probability measures in portfolio optimization with coherent measures of risk45 cited
  • 2013Choquet Expected Utility2 cited