A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints

Published Online:https://doi.org/10.1287/mnsc.2015.2282

References

  • Arvanitis S, Hallam MS, Post T (2015) Stochastic spanning. Working paper, Athens University of Economics and Business, Athens, Greece.Google Scholar
  • Dentcheva D, Ruszczynski A (2003) Optimization with stochastic dominance constraints. SIAM J. Optim. 14:548–566.CrossrefGoogle Scholar
  • Dentcheva D, Ruszczynski A (2006) Portfolio optimization with stochastic dominance constraints. J. Banking Finance 30:433–451.CrossrefGoogle Scholar
  • Kopa M, Chovanec P (2008) A second-order stochastic dominance portfolio efficiency measure. Kybernetika 44:243–258.Google Scholar
  • Kopa M, Post T (2014) A general test for portfolio efficiency. OR Spectrum 37(3):703–734.CrossrefGoogle Scholar
  • Kuosmanen T (2004) Efficient diversification according to stochastic dominance criteria. Management Sci. 50(10):1390–1406.LinkGoogle Scholar
  • Levy H (1992) Stochastic dominance and expected utility: Survey and analysis. Management Sci. 38(4):555–593.LinkGoogle Scholar
  • Lizyayev A (2012) Stochastic dominance efficiency analysis of diversified portfolios: Classification, comparison and refinements. Ann. Oper. Res. 196:391–410.CrossrefGoogle Scholar
  • Longarela IR (2014) A characterization of the SSD-efficient frontier of portfolio weights with an application to SSD-spanning. Working paper, Stockholm University, Stockholm.Google Scholar
  • Post T (2001) Spanning and intersection: A stochastic dominance approach. ERIM Report Series Reference ERS-2001-63-F&A, Erasmus University of Rotterdam, Rotterdam, Netherlands.Google Scholar
  • Post T (2002) A stochastic dominance approach to spanning. ERIM Report Series Reference ERS-2002-01-F&A, Erasmus University of Rotterdam, Rotterdam, Netherlands.Google Scholar
  • Post T (2003) Empirical tests for stochastic dominance efficiency. J. Finance 58:1905–1931.CrossrefGoogle Scholar
  • Post T (2008) On the dual test for SSD efficiency: With an application to momentum investment strategies. Eur. J. Operational Res. 185:1564–1573.CrossrefGoogle Scholar
  • Post T, Kopa M (2013) General linear formulations of stochastic dominance criteria. Eur. J. Oper. Res. 230:321–332.CrossrefGoogle Scholar
  • Post T, van Vliet P (2006) Downside risk and asset pricing. J. Banking Finance 30:823–849.CrossrefGoogle Scholar
  • Post T, Fang Y, Kopa M (2015) Linear tests for decreasing absolute risk aversion stochastic dominance. Management Sci. 61(7):1615–1629.LinkGoogle Scholar
  • Scaillet O, Topaloglou N (2010) Testing for stochastic dominance efficiency. J. Bus. Econom. Statist. 28:169–180.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.