Asset Proportions in Optimal Portfolios
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- Milevsky, Moshe Arye & Panyagometh, Kamphol, 2001. "Variable annuities versus mutual funds: a Monte-Carlo analysis of the options," Financial Services Review, Elsevier, vol. 10(1-4), pages 145-161.
- Chen, Zijin & Hu, Taizhong, 2008. "Asset proportions in optimal portfolios with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 223-226, October.
- Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.
- Michel Denuit & Rachel Huang & Larry Tzeng, 2015.
"Almost expectation and excess dependence notions,"
Theory and Decision, Springer, vol. 79(3), pages 375-401, November.
- Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2013. "Almost Expectation and Excess Dependence Notions," LIDAM Discussion Papers ISBA 2013005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2015. "Almost expectation and excess dependence notions," LIDAM Reprints ISBA 2015027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel M. & Huang, Rachel J. & Tzeng, Larry Y. & Wang, Christine W., 2014.
"Almost marginal conditional stochastic dominance,"
Journal of Banking & Finance, Elsevier, vol. 41(C), pages 57-66.
- Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2012. "Almost Marginal Conditional Stochastic Dominance," LIDAM Discussion Papers ISBA 2012033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Denuit, Michel & Huang, Rachel J. & Wang, Christine, 2014. "Almost marginal conditional stochastic dominance," LIDAM Reprints ISBA 2014003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Vinod, H.D., 2024. "Portfolio choice algorithms, including exact stochastic dominance," Journal of Financial Stability, Elsevier, vol. 70(C).
- Ephraim Clark & Octave Jokung, 1999. "A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule," Management Science, INFORMS, vol. 45(12), pages 1724-1727, December.
- Xuehu Zhu & Xu Guo & Lu Lin & Lixing Zhu, 2016.
"Testing for positive expectation dependence,"
Annals of the Institute of Statistical Mathematics,
Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 135-153, February.
- Xuehu Zhu & Xu Guo & Lu Lin & Lixing Zhu, 2016. "Testing for positive expectation dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 135-153, February.
- Michel Denuit & Louis Eeckhoudt, 2016.
"Risk aversion, prudence, and asset allocation: a review and some new developments,"
Theory and Decision,
Springer, vol. 80(2), pages 227-243, February.
- Michel M. Denuit & Louis Eeckhoudt, 2016. "Risk aversion, prudence, and asset allocation: a review and some new developments," Theory and Decision, Springer, vol. 80(2), pages 227-243, February.
- Michel M. Denuit & Louis Eeckhoudt, 2015. "Risk aversion, prudence, and asset allocation: a review and some new developments," Post-Print hal-01533550, HAL.
- Li, Xiaohu & Li, Chen, 2016. "On allocations to portfolios of assets with statistically dependent potential risk returns," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 178-186.
- Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
- Erin Baker, 2009. "Optimal Policy under Uncertainty and Learning about Climate Change: A Stochastic Dominance Approach," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 11(5), pages 721-747, October.
- Wei, Wei, 2017. "Joint stochastic orders of high degrees and their applications in portfolio selections," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 141-148.
- Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
- Kroll, Yoram & Leshno, Moshe & Levy, Haim & Spector, Yishay, 1995. "Increasing risk, decreasing absolute risk aversion and diversification," Journal of Mathematical Economics, Elsevier, vol. 24(6), pages 537-556.
- Cai, Jun & Wei, Wei, 2015. "Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 156-169.
- Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
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