ON DETERMINATION OF STOCHASTIC-DOMINANCE OPTIMAL SETS

被引：53

作者：

BAWA, VS

BODURTHA, JN

RAO, MR

SURI, HL

机构：

[1] OHIO STATE UNIV,COLUMBUS,OH 43210

[2] NYU,NEW YORK,NY 10003

[3] INDIA INST MANAGEMENT,BANGALORE,INDIA

来源：

JOURNAL OF FINANCE | 1985年 / 40卷 / 02期

关键词：

D O I：

10.2307/2327893

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：417 / 431

页数：15

共 13 条

[1]

Bawa V. S., 1975, J FINANC ECON, V2, P95, DOI DOI 10.1016/0304-405X(75)90025-2

[2] EFFICIENT ALGORITHM TO DETERMINE STOCHASTIC-DOMINANCE ADMISSIBLE-SETS [J].

BAWA, VS ;

LINDENBERG, EB ;

RAFSKY, LC .

MANAGEMENT SCIENCE, 1979, 25 (07) :609-622

[3]

Fishburn P.C., 1964, DECISION VALUE THEOR

[4] CONVEX STOCHASTIC DOMINANCE WITH CONTINUOUS DISTRIBUTION FUNCTIONS [J].

FISHBURN, PC .

JOURNAL OF ECONOMIC THEORY, 1974, 7 (02) :143-158

[5]

FISHBURN PC, 1978, STOCHASTIC DOMINANCE, P337

[6] STOCHASTIC DOMINANCE AND DIVERSIFICATION [J].

HADAR, J ;

RUSSELL, WR .

JOURNAL OF ECONOMIC THEORY, 1971, 3 (03) :288-305

[7]

HADAR J, 1969, AM ECON REV, V59, P25

[8] EFFICIENCY ANALYSIS OF CHOICES INVOLVING RISK [J].

HANOCH, G ;

LEVY, H .

REVIEW OF ECONOMIC STUDIES, 1969, 36 (03) :335-346

[9]

MEYER J, 1979, J FINANCE, V43, P1221

[10] EFFICIENT ALGORITHMS FOR CONDUCTING STOCHASTIC DOMINANCE TESTS ON LARGE NUMBERS OF PORTFOLIOS [J].

PORTER, RB ;

WART, JR ;

FERGUSON, DL .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1973, 8 (01) :71-81

← 1 2 →