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Portfolio diversification based on stochastic dominance under incomplete probability information
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Portfolio diversification based on stochastic dominance under incomplete probability information (2020)Portfolio diversification based on stocha…Revisiting Almost Second-Degree Stochastic Dominance (2012)Revisiting Almost Second-Degr…Scenario-based portfolio selection of investment projects with incomplete probability and utility information (2011)Scenario-based portfolio sele…Stochastic Dominance: Investment Decision Making under Uncertainty (2010)Stochastic Dominance: Investm…Stochastic dominance and mean–variance measures of profit and loss for business planning and investment (2006)Stochastic dominance and mean…Contingent Portfolio Programming for the Management of Risky Projects (2005)Contingent Portfolio Programm…Efficient Diversification According to Stochastic Dominance Criteria (2004)Efficient Diversification Acc…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Empirical Tests for Stochastic Dominance Efficiency (2003)Empirical Tests for Stochasti…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Developments in Non-Expected …Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Marginal Conditional Stochastic Dominance (1994)Marginal Conditional Stochast…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Relative Effectiveness of Efficiency Criteria for Portfolio Selection (1970)Relative Effectiveness of Eff…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Theory of Games and Economic Behavior (1945)Introduction to Stochastic Programming (2011)Monte Carlo sampling-based methods for stochastic optimization (2014)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On Persistence in Mutual Fund Performance (1997)Capital markets research in accounting (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Digesting Anomalies: An Investment Approach (2012)The Utility Analysis of Choices Involving Risk (1948)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)The Measurement of Productive Efficiency (1957)Measuring the efficiency of decision making units (1978)Stochastic dominance analysis of Asian hedge funds (2007)Testing for Stochastic Dominance Efficiency (2009)The Coefficient of Resource Utilization (1951)Essays in the Theory of Risk-Bearing. (1972)Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs (2005)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)Time Discounting and Time Preference: A Critical Review (2002)The Adaptive Markets Hypothesis (2004)Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance (2002)Prospect Theory: Much Ado About Nothing? (2002)Prospect Theory and Mean-Variance Analysis (2003)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 2000Optimization of conditional value-at-risk6,722 cited
  • 2000Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk1,902 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2010Stochastic Dominance: Investment Decision Making under Uncertainty591 cited
  • 2003Optimization with Stochastic Dominance Constraints376 cited
  • 2003Empirical Tests for Stochastic Dominance Efficiency287 cited
  • 2004Efficient Diversification According to Stochastic Dominance Criteria229 cited
  • 2006Stochastic dominance and mean–variance measures of profit and loss for business planning and investment164 cited
  • 1994Marginal Conditional Stochastic Dominance150 cited
  • 1970Relative Effectiveness of Efficiency Criteria for Portfolio Selection105 cited
  • 2012Revisiting Almost Second-Degree Stochastic Dominance102 cited
  • 2011Scenario-based portfolio selection of investment projects with incomplete probability and utility information99 cited

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  • 2005Contingent Portfolio Programming for the Management of Risky Projects97 cited
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