Results 1 to 10 of about 3,406 (137)

Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models [PDF]

Data in Brief, 2016
A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the ...
Renato Bruni, Francesco Cesarone, Andrea Scozzari, Fabio Tardella   +3 more
doaj   +2 more sources

Prospect and Markowitz stochastic dominance [PDF]

Annals of Finance, 2005
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory PSD and Markowitz Stochastic Dominance theory MSD to the first three orders and link the corresponding S-shaped and ...
Wong, W.-K., Chan, R.H.
openaire   +5 more sources

Spanning tests for Markowitz stochastic dominance

Journal of Econometrics, 2018
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation.
Arvanitis, Stelios, Scaillet, Olivier, Topaloglou, Nikolas   +2 more
openaire   +6 more sources

Portfolio Optimization by Stochastic Dominance Method in the Tehran Stock Exchange [PDF]

Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2019
The formation of the optimum portfolio based on risk and return is one of the most important decisions of investors in financial markets, for which there are various methods.
Moslem Peymany Foroushany, Amir Hossein Erza, maryam hamidizadeh, Mahdi Asgharzadeh   +3 more
doaj   +1 more source

Testing for prospect and Markowitz stochastic dominance efficiency

Journal of Econometrics, 2017
We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent.
Arvanitis, Stelios, Topaloglou, Nikolas
openaire   +3 more sources

Mean-Variance and Expected Utility: The Borch Paradox [PDF]

, 2013
The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others.
Johnstone, David, Lindley, Dennis
core   +3 more sources

Portfolio selection models: A review and new directions [PDF]

, 2009
Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalization of this approach leads to mean-risk models, in which a return distribution is characterized by the expected value of return (
Acerbi, Albrecht, Arditti, Artzner, BAWA, Bernoulli, Dentcheva, Dentcheva, Embrechts, Fama, Fishburn, Group of Thirty, Hadar, Jorion, Kaut, Konno, Konno, Kroll, Larsen, Lehmann, Leyffer, Mansini, Markowitz, Markowitz, Marshall, Morgan, Ogryczak, Ogryczak, Ortobelli, Perold, Pflug, Pratt, Quirk, Rockafellar, Rockafellar, Rockafellar, Rockafellar, Roman, Roman, Roy, Scott, Sharpe, Speranza, Tasche, Unser, von Neumann, Whitmore, Yamai, Yitzhaki   +48 more
core   +1 more source

Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences [PDF]

, 2002
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio ...
Levy, H. (Haim), Post, G.T. (Thierry)
core   +1 more source

Testing for Contagion in International Financial Markets: To See More, Go Higher

Financial Review, EarlyView.
ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley   +1 more source

Finding a mix of renewable energy for different stakeholders by applying multi‐criteria decision‐making techniques

International Transactions in Operational Research, Volume 33, Issue 4, Page 2499-2534, July 2026.
Abstract This paper presents a two‐stage model for planning a renewable energy portfolio by balancing economic, social and environmental sustainability goals. The first stage addresses a multi‐objective problem where conflictive impacts generated by the energy portfolios should be optimised according to the corresponding economic, social or ...
Amelia Bilbao‐Terol, Verónica Cañal‐Fernández, Carmen González‐Pérez   +2 more
wiley   +1 more source