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Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria
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Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria (2007)Performance Evaluation of Portfolio Insur…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Consistent Testing for Stocha…Empirical Tests for Stochastic Dominance Efficiency (2003)Empirical Tests for Stochasti…Consistent Tests for Stochastic Dominance (2003)Consistent Tests for Stochast…On the coherence of expected shortfall (2002)On the coherence of expected …A Universal Performance Measure (2002)A Universal Performance Measu…Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)Statistical Inference for Sto…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)International Portfolio Diversification with Estimation Risk (1985)Construct validity of an objective (entropy) categorical measure of diversification strategy (1993)CORPORATE DIVESTITURE INTENSITY IN RESTRUCTURING FIRMS: EFFECTS OF GOVERNANCE, STRATEGY, AND PERFORMANCE. (1994)Ranking Income Distributions (1983)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)The analysis of household surveys (1997)Identification of binary choice models with social interactions (2006)The Effect of Literacy on Immigrant Earnings (2006)The Foster–Greer–Thorbecke (FGT) poverty measures: 25 years later (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)On the measurement of inequality (1970)A Class of Decomposable Poverty Measures (1984)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Exploring Alternative Measures of Welfare in the Absence of Expenditure Data (2003)Polarization: Concepts, Measurement, Estimation (2004)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Portfolio optimization with return prediction using deep learning and machine learning (2020)Frameworks and Results in Distributionally Robust Optimization (2022)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality870 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 2003Consistent Tests for Stochastic Dominance652 cited
  • 2002A Universal Performance Measure590 cited
  • 2005Consistent Testing for Stochastic Dominance under General Sampling Schemes512 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 2012Elements of Financial Risk Management436 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 2003Empirical Tests for Stochastic Dominance Efficiency

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