Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements

@article{Lizyayev2012StochasticDE,
  title={Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements},
  author={Andrey Lizyayev},
  journal={Annals OR},
  year={2012},
  volume={196},
  pages={391-410}
}
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories: 1) majorization, 2) revealed preference and 3) distribution… CONTINUE READING