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Improved Portfolio Choice Using Second Order Stochastic Dominance · Study

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ArticleImproved Portfolio Choice Using Second Order Stochastic Dominance

James Ernest Hodder2010

OA

Articlebronze2010

Improved Portfolio Choice Using Second Order Stochastic Dominance

James Ernest Hodder · Jens Carsten Jackwerth · Olga Kolokolova

87 citations·0/0 files stored·European Finance Review

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality 2007Optimal Portfolio Choice with Parameter Uncertainty 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach 2003Consistent Tests for Stochastic Dominance

Cited by

2016On exact and approximate stochastic dominance strategies for portfolio selection 2017DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure 2017Diversification benefits of commodities: A stochastic dominance efficiency approach 2016Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood 2018Portfolio optimization based on stochastic dominance and empirical likelihood

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2018Portfolio optimization based on stochastic dominance and empirical likelihoodarticle · 11 shared references 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selectionarticle · 10 shared references 2016Enhancing mean–variance portfolio selection by modeling distributional asymmetriesarticle · 10 shared references 2012Stochastic dominance analysis of CTA fundsarticle · 8 shared references 2017Essays on decision making under uncertainty : Stochastic dominancethesis · 8 shared references 2015Approaching Mean-Variance Efficiency for Large Portfoliosarticle · 7 shared references

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Year2010

Typearticle

Published2010-01-01

VenueEuropean Finance Review

ISSN-L1382-6662

Languageen

Citations87

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1093/rof/rfu025

openalex_workW2136197566

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