Measures of stochastic non-dominance in portfolio optimization
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ejor.2024.08.029
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Whitmore, G A, 1970. "Third-Degree Stochastic Dominance," American Economic Review, American Economic Association, vol. 60(3), pages 457-459, June.
- Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013.
"A note on almost stochastic dominance,"
Economics Letters, Elsevier, vol. 121(2), pages 252-256.
- Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013. "A Note on Almost Stochastic Dominance," MPRA Paper 44365, University Library of Munich, Germany.
- Vickson, R. G., 1975. "Stochastic Dominance for Decreasing Absolute Risk Aversion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 799-811, December.
- Thierry Post & Miloš Kopa, 2017. "Portfolio Choice Based on Third-Degree Stochastic Dominance," Management Science, INFORMS, vol. 63(10), pages 3381-3392, October.
- Thierry Post & Yi Fang & Miloš Kopa, 2015. "Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance," Management Science, INFORMS, vol. 61(7), pages 1615-1629, July.
- Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
- repec:bla:jfinan:v:58:y:2003:i:5:p:1905-1932 is not listed on IDEAS
- G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(3), pages 335-346.
- James P. Quirk & Rubin Saposnik, 1962. "Admissibility and Measurable Utility Functions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 29(2), pages 140-146.
- Thierry Post, 2003. "Empirical Tests for Stochastic Dominance Efficiency," Journal of Finance, American Finance Association, vol. 58(5), pages 1905-1931, October.
- Dentcheva, Darinka & Ruszczynski, Andrzej, 2006.
"Portfolio optimization with stochastic dominance constraints,"
Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
- Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, University Library of Munich, Germany, revised 02 Mar 2006.
- Miloš Kopa & Vittorio Moriggia & Sebastiano Vitali, 2018. "Individual optimal pension allocation under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 260(1), pages 255-291, January.
- Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
- Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
- Russell Davidson & Jean-Yves Duclos, 2000.
"Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality,"
Econometrica, Econometric Society, vol. 68(6), pages 1435-1464, November.
- Davidson, Russell & Duclos, Jean-Yves, 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Cahiers de recherche 9805, Université Laval - Département d'économique.
- Davidson, R. & Duclos, J.-Y., 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," G.R.E.Q.A.M. 98a14, Universite Aix-Marseille III.
- Russell Davidson & Jean-Yves Duclos, 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," LIS Working papers 181, LIS Cross-National Data Center in Luxembourg.
- Fang, Yi & Post, Thierry, 2022. "Optimal portfolio choice for higher-order risk averters," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
- Post, Thierry, 2016. "Standard Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 248(3), pages 1009-1020.
- Xi Yang & Jacek Gondzio & Andreas Grothey, 2010. "Asset liability management modelling with risk control by stochastic dominance," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 73-93, June.
- Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-1193, September.
- Jia Liu & Zhiping Chen & Giorgio Consigli, 2021. "Interval-based stochastic dominance: theoretical framework and application to portfolio choices," Annals of Operations Research, Springer, vol. 307(1), pages 329-361, December.
- Jow-Ran Chang & Wei-Han Liu & Mao-Wei Hung, 2019. "Revisiting generalized almost stochastic dominance," Annals of Operations Research, Springer, vol. 281(1), pages 175-192, October.
- Benjamin Armbruster & James Luedtke, 2015. "Models and formulations for multivariate dominance-constrained stochastic programs," IISE Transactions, Taylor & Francis Journals, vol. 47(1), pages 1-14, January.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 817-830, September.
- Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
- Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
- Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Christodoulakis, George & Mohamed, Abdulkadir & Topaloglou, Nikolas, 2018. "Optimal privatization portfolios in the presence of arbitrary risk aversion," European Journal of Operational Research, Elsevier, vol. 265(3), pages 1172-1191.
- Jia Liu & Zhiping Chen & Giorgio Consigli, 2021. "Interval-based stochastic dominance: theoretical framework and application to portfolio choices," Annals of Operations Research, Springer, vol. 307(1), pages 329-361, December.
- Chan, Raymond H. & Chow, Sheung-Chi & Guo, Xu & Wong, Wing-Keung, 2022. "Central moments, stochastic dominance, moment rule, and diversification with an application," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
- Courtois, Olivier Le & Xu, Xia, 2023. "Semivariance below the maximum: Assessing the performance of economic and financial prospects," Journal of Economic Behavior & Organization, Elsevier, vol. 209(C), pages 185-199.
- Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
- Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
- Francesco Cesarone & Raffaello Cesetti & Giuseppe Orlando & Manuel Luis Martino & Jacopo Maria Ricci, 2022. "Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution," Mathematics, MDPI, vol. 11(1), pages 1-20, December.
- Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
- Kolokolova, Olga & Le Courtois, Olivier & Xu, Xia, 2022. "Is the index efficient? A worldwide tour with stochastic dominance," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Levy, Haim & Levy, Moshe, 2021. "Stocks versus bonds for the long run when a riskless asset is available," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Thierry Post & Miloš Kopa, 2017. "Portfolio Choice Based on Third-Degree Stochastic Dominance," Management Science, INFORMS, vol. 63(10), pages 3381-3392, October.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013.
"Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures,"
Documentos de Trabajo del ICAE
2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Econometric Institute Research Papers EI 2013-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Tinbergen Institute Discussion Papers 13-132/III, Tinbergen Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Working Papers in Economics 13/30, University of Canterbury, Department of Economics and Finance.
- Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
- W. Wong & R. Chan, 2008.
"Prospect and Markowitz stochastic dominance,"
Annals of Finance, Springer, vol. 4(1), pages 105-129, January.
- Wing-Keung Wong & Raymond H. Chan, 2005. "Prospect and Markowitz Stochastic Dominance," Monash Economics Working Papers 08/05, Monash University, Department of Economics.
- Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
- Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010.
"Investor preferences for oil spot and futures based on mean-variance and stochastic dominance,"
Econometric Institute Research Papers
EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011. "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers 755, Kyoto University, Institute of Economic Research.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series CIRJE-F-744, CIRJE, Faculty of Economics, University of Tokyo.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," Working Papers in Economics 10/22, University of Canterbury, Department of Economics and Finance.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CARF F-Series CARF-F-220, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
- Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
More about this item
Keywords
Portfolio optimization; Stochastic dominance; Measure of stochastic non-dominance; Closest dominating portfolio;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:321:y:2025:i:1:p:269-283. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.