Download or read book A Comprehensive Empirical Comparison of Stochastic Dominance and Mean variance Portfolio Models written by R. Burr Porter and published by . This book was released on 1971 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1972 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Vs Mean variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1970 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Vs Mean Variance Portfolio Analysis written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Download or read book A Note on the Comparison of Stochastic Dominance and Mean variance Portfolio Choice Criteria written by Stylianos Perrakis and published by Faculty of Management Sciences, University of Ottawa. This book was released on 1975 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.

Download or read book School of Business Working Paper Series written by University of Kansas. School of Business and published by . This book was released on 1978 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Decision Aid Using Multiple Criteria written by Hatem Masri and published by Springer. This book was released on 2018-01-17 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Download or read book Stochastic dominance in portfolio analysis and asset pricing written by Andrey M. Lizyayev and published by Rozenberg Publishers. This book was released on 2010 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood written by Thierry Post and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study develops a portfolio optimization method based on the Stochastic Dominance (SD) decision criterion and the Empirical Likelihood (EL) estimation method. SD and EL share a distribution-free assumption framework which allows for dynamic and non-Gaussian multivariate return distributions. The SD/EL method can be implemented using a two-stage procedure which first elicits the implied probabilities using Convex Optimization and subsequently constructs the optimal portfolio using Linear Programming. The solution asymptotically dominates the benchmark and optimizes the goal function in probability, for a class of weakly dependent processes. A Monte Carlo simulation experiment illustrates the improvement in estimation precision using a set of conservative moment conditions about common factors in small samples. In an application to equity industry momentum strategies, SD/EL yields important out-of-sample performance improvements relative to heuristic diversification, Mean-Variance optimization, and a simple 'plug-in' approach.

Download or read book Comparing Mean Variance Tests with Stochastic Dominance When Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dominance has been shown to be theoretically superior to mean variance (MV) analysis because it considers the entire return distribution and is based on minimally-restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally-based assets to a wholly-domestic portfolio generates diversification benefits. In contrast to previous MV findings, a New Zealand-only portfolio stochastically dominates four internationally-diversified portfolios across all periods considered. Similarly, the least internationally-diversified portfolio persistently dominates more diversified counterparts. Within-portfolio analysis supports the fundamental precept of finance theory showing that in the Asian Crisis period, the least risky/lowest return weighting schemes dominate those with a greater risk or higher return characteristic.

Download or read book Black Littermann and Mean variance Efficient Portfolios written by Marcel Bross and published by . This book was released on 2005 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comparing Mean Variance Tests with Stochastic Dominance Tests when Assessing International Portfolio Diversification Benefits written by Thomas O. Meyer and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz and published by Springer Science & Business Media. This book was released on 2002-04-12 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.

Download or read book Second Order Stochastic Dominance Reward risk Portfolio Selection and the CAPM written by Enrico De Giorgi and published by . This book was released on 2005 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2008-11-01 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.