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ArticleGeneral linear formulations of stochastic dominance criteria

Thierry Post2013

Article2013

General linear formulations of stochastic dominance criteria

Thierry Post · Miloš Kopa

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

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Decision-Making and Behavioral Economics

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References

1981The relationship between return and market value of common stocks 1985The equity premium: A puzzle 1988Permanent and Temporary Components of Stock Prices 1995Myopic Loss Aversion and the Equity Premium Puzzle 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 1993Myopic Loss Aversion and the Equity Premium Puzzle 1969Rules for Ordering Uncertain Prospects

Cited by

2014A general test for SSD portfolio efficiency 2023Fifty years of portfolio optimization 2016Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models 2016Individual optimal pension allocation under stochastic dominance constraints 2014Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance 2014Moment conditions for Almost Stochastic Dominance

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Year2013

Typearticle

Published2013-04-18

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations78

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2013.04.015

openalex_workW2054326545

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2017

Higher-degree stochastic dominance optimality and efficiency

2015On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs