SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Portfolio construction based on stochastic dominance and target return distributions
16 references·16 citing·35 second hopsampled
Portfolio construction based on stochastic dominance and target return distributions (2006)Portfolio construction based on stochasti…Theory of games and economic behavior (2019)Theory of games and economic …Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Monetary and economic studies (1996)Monetary and economic studiesRanking Income Distributions (1983)Ranking Income DistributionsStochastic Dominance, Mean Variance, and Gini's Mean Difference (1982)Stochastic Dominance, Mean Va…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Theory of Games and Economic Behavior (1947)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Methods of Measuring the Concentration of Wealth (1905)Methods of Measuring the Conc…Fifty years of portfolio optimization (2023)Fifty years of portfolio opti…Portfolio optimization based on stochastic dominance and empirical likelihood (2018)Portfolio optimization based …Diversification, Integration and Cryptocurrency Market (2018)Diversification, Integration …Portfolio Choice Based on Third-Degree Stochastic Dominance (2016)Portfolio Choice Based on Thi…Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood (2016)Portfolio Analysis Using Stoc…Portfolio optimization under loss aversion (2015)Portfolio optimization under …Bi-Objective Multi-Mode Project Scheduling Under Risk Aversion (2015)Bi-Objective Multi-Mode Proje…A linear risk-return model for enhanced indexation in portfolio optimization (2014)A linear risk-return model fo…A general test for SSD portfolio efficiency (2014)A general test for SSD portfo…Quantile regression for index tracking and enhanced indexation (2013)Quantile regression for index…Enhanced indexation based on second-order stochastic dominance (2013)Enhanced indexation based on …Risk-adjusted budget allocation models with application in homeland security (2011)Risk-adjusted budget allocati…Sample average approximation of stochastic dominance constrained programs (2010)Sample average approximation …An enhanced model for portfolio choice with SSD criteria: a constructive approach (2010)An enhanced model for portfol…Processing second-order stochastic dominance models using cutting-plane representations (2009)Processing second-order stoch…Portfolio selection models: a review and new directions (2009)Portfolio selection models: a…Notes on the measurement of inequality (1973)On Economic Inequality (1973)Unequal inequalities. I (1976)Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam (2002)True World Income Distribution, 1988 and 1993: First Calculation Based on Household Surveys Alone (2002)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)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)On the measurement of inequality (1970)A theory of anticipated utility (1982)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)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Subjectivity and correlation in randomized strategies (1974)The Health Utilities Index (HUI): concepts, measurement properties and applications. (2003)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2019Theory of games and economic behavior16,630 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1947Theory of Games and Economic Behavior2,327 cited
  • 1905Methods of Measuring the Concentration of Wealth2,281 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1983Ranking Income Distributions1,061 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 2003Optimization with Stochastic Dominance Constraints369 cited
  • 1996Monetary and economic studies364 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2013Enhanced indexation based on second-order stochastic dominance103 cited
  • 2009Processing second-order stochastic dominance models using cutting-plane representations98 cited
  • 2016Portfolio Choice Based on Third-Degree Stochastic Dominance94 cited
  • 2010Sample average approximation of stochastic dominance constrained programs80 cited
  • 2011Risk-adjusted budget allocation models with application in homeland security71 cited
  • 2014A general test for SSD portfolio efficiency61 cited
  • 2010An enhanced model for portfolio choice with SSD criteria: a constructive approach53 cited
  • 2023Fifty years of portfolio optimization51 cited
  • 2009Portfolio selection models: a review and new directions51 cited
  • 2016Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood49 cited
  • 2018Portfolio optimization based on stochastic dominance and empirical likelihood48 cited
  • 2014A linear risk-return model for enhanced indexation in portfolio optimization45 cited
  • 2013Quantile regression for index tracking and enhanced indexation43 cited
  • 2015Bi-Objective Multi-Mode Project Scheduling Under Risk Aversion43 cited
  • 2018Diversification, Integration and Cryptocurrency Market39 cited
  • 2015Portfolio optimization under loss aversion39 cited