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A Second-order Stochastic Dominance Portfolio Efficiency Measure
A Second-order Stochastic Dominance Portfolio Efficiency Measure...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Second-order stochastic dominance for decomposable multiparametric families with applications to order statistics.
We provide a simple method for deriving second-order stochastic dominance between multiparametric families which can be decomposed into a functional composition of two cumulative distributions and a quantile function. The method is ...
Economics and Business
- 2020 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Portfolio selection problem with the third-order stochastic dominance constraints
In this paper, we focus on the mean maximization under third-order stochastic dominance constraints. The third-order stochastic dominance con- straints are approximated by so called "super-convex" third-order
BB - Aplikovaná statistika, operační výzkum
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Multivariate stochastic orderings consistent with preferences and their possible applications
In this paper we propose multivariate stochastic orderings of risk positions-dependent utility function, we analyze stochastic orderings that take into account stochastic dominance orders, surviva...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Stochastic Programs With Second Order Dominance Constraints - Application On Portfolio Optimization
Basic themes of document: second order stochastic dominance; portfolio optimization; empirical distribution function...
AH - Ekonomie
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Dynamic portfolio optimization under robust second order stochastic dominance model
Main topics of the document: portfolio optimization; second order stochastic dominance; portfolio value simulation...
Statistics and probability
- 2024 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
A Financial Application of Multivariate Stochastic Orderings Consistent with Preferences
of multivariate stochastic orderings consistent with the investors? preferences. Thus, starting by a recent classification of stochastic orderings consistent with preferences dominated choices in some financial pr...
AH - Ekonomie
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Stochastic dominance enhanced portfolios - empirical evidence
Stochastic dominance is a relation between two random variables allowing to compare random returns of two portfolios. Based on the type of stochastic dominance, a decision maker can use the first-order, the second-order...
Statistics and probability
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
The Milstein Numerical Scheme in Solving Stochastic Second Order Networks
The paper deals with vector It^{o} stochastic integral equations. We replace a parameter in the deterministic model of the RLC electrical circuit with a stochastic one, by adding a noise term to the coefficient and so we introduce ...
Electrical and electronic engineering
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Stochastic simulations of quantum optical systems
The stochastic simulations of quantum evolution are introduced, alternatively to the Ito-stochastic simulations, for the normal, symmetrical and antinormal ordering in the double dimensional phase-space....
BH - Optika, masery a lasery
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
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