A simple SSD-efficiency test
Author:
Publisher
Springer Science and Business Media LLC
Subject
Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s11590-013-0720-8.pdf
Reference19 articles.
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2. Dentcheva, D., Ruszczyński, A.: Portfolio optimization with stochastic dominance constraints. J. Banking Finance 30(2), 433–451 (2006)
3. Fabian, C.I., Mitra, G., Roman, D.: Second-order stochastic dominance models using cutting-plane representations. Math. Program. 130, 33–57 (2011)
4. Föllmer, H., Schied, A.: Stochastic Finance, 2nd edn. de Gruyter, Berlin (2004)
5. Grechuk, B., Molyboha, A., Zabarankin, M.: Mean-deviation analysis in the theory of choice. Risk Anal. 32(8), 1277–1292 (2012)
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