On exact and approximate stochastic dominance strategies for portfolio selection.

Renato Bruni,Francesco Cesarone,Andrea Scozzari,Fabio Tardella

European Journal of Operational Research（2017）

引用 53|浏览8

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摘要

•New type of approximate stochastic dominance designed for portfolio selection.•Equivalent to minimizing the expected shortfall of the portfolio below the benchmark.•An easily solvable LP model for the practical implementation of our approach.•Extensive empirical comparison of stochastic dominance models for portfolio selection.

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关键词

Applied probability,Stochastic dominance,Portfolio optimization,Expected shortfall,Index tracking

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