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Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications

SSRN Electronic Journal, 2007
Summary: \textit{H. Levy} and \textit{M. Levy} [``Prospect theory: much ado about nothing?'', Manage. Sci. 48, 1334--1349 (2002); ``Prospect theory and mean-variance analysis'', Rev. Financ. Stud. 17, 1015--1041 (2004)] extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD ...
Bai, Z., Li, H., Liu, H., Wong, W.-K.
openaire   +1 more source

OPTIMASI PORTOFOLIO SAHAM DENGAN METODE STOCHASTIC DOMINANCE DAN MARKOWITZ [PDF]

, 2021
Investasi saham merupakan salah satu investasi yang memiliki risiko yang tinggi. Sebelum mengambil keputusan untuk berinvestasi, investor diharuskan mencermati nilai return dan risiko yang diperoleh. Dalam berinvestasi saham, guna meminimumkan risiko investor dapat membentuk suatu portofolio. Para investor akan cenderung memilih portofolio yang optimal
openaire  

Spanning tests for Markowitz stochastic dominance

Journal of Econometrics, 2020
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou   +2 more
exaly  

Transportation Sustainability, Macroeconomics, and Endogeneity in China: A Hybrid Neural-Markowitz-Variable Reduction Approach

Technological Forecasting and Social Change, 2021
Peter F. Wanke, Zhongfei Chen
exaly  

Markowitz-based Shariah compliant portfolio model with stochastic purification and probabilistic compliance screening constraints

Journal of Islamic Accounting and Business Research, 2023
exaly