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Improved Portfolio Choice Using Second Order Stochastic Dominance
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References

  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality870 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 2003Consistent Tests for Stochastic Dominance652 cited
  • 2000Portfolio Selection and Asset Pricing Models611 cited
  • 2010Stochastic Dominance: Investment Decision Making under Uncertainty591 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2005Consistent Testing for Stochastic Dominance under General Sampling Schemes512 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited
  • 1996Nonparametric Tests of Stochastic Dominance in Income Distributions

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374 cited
  • 2002Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance348 cited
  • Cited by

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    • 2017Diversification benefits of commodities: A stochastic dominance efficiency approach64 cited
    • 2016Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood49 cited
    • 2018Portfolio optimization based on stochastic dominance and empirical likelihood48 cited
    • 2018Diversification, Integration and Cryptocurrency Market39 cited
    • 2021Diversification benefits in the cryptocurrency market under mild explosivity30 cited