Results 1 to 10 of about 10,280 (168)
Spanning tests for Markowitz stochastic dominance [PDF]
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 +2 more
semanticscholar +7 more sources
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 +3 more
doaj +3 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.
semanticscholar +6 more sources
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 +4 more sources
Bengkulu International Conference on Economics, Management, Business and Accounting (BICEMBA)This research aims to determine the relationship between the optimal portfolio using the Markowitz and Stochastic Dominance models with stock prices as one of the bases for investment decisions. The population of this research is the LQ45 Index Companies Listed on the Indonesia Stock Exchange for 2018-2022, which consists of 45 companies.
Gita Anggraini, Nensi Yuniarti Zs
openaire +2 more sources
Revisiting Markowitz stochastic dominance in international markets
The European Journal of FinanceArgyro Kofina +2 more
openaire +2 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 +3 more
doaj +1 more source
Izvestiya Journal of the University of Economics - Varna, 2021 This study carried out an empirical test of stochastic dominance application on portfolio selection in the Nigerian stock market. December daily stock price of ten (10) listed insurance firms in the period 2014 to 2020 were selected and tested for ...
C. Eburajolo, S. Ogbeide
semanticscholar +1 more source
Comparison of Stock Selection Methods: An Empirical Research On The Borsa Istanbul
International Journal of Business Society, 2022 This paper compares the performances of stock selection methods developed by artificial neural network (ANN), second order stochastic dominance (SSD), and Markowitz portfolio optimization by generating annual portfolios whose stocks are selected from ...
Ali Sezin Ozdemir, K. Tokmakçıoğlu
semanticscholar +1 more source
The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis
Annals of Operations ResearchBy the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the theoretical\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts ...
Haim Levy
semanticscholar +1 more source