Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution

Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution

Portfolio selection models based on second-order stochastic dominance (SSD) have the advantage of providing portfolios that reflect the behavior of risk-averse investors without the need to specify the utility function. Several scholars apply SSD conditions with respect to a reference distribution,...

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Bibliographic Details
Main Authors: Francesco Cesarone, Raffaello Cesetti, Giuseppe Orlando, Manuel Luis Martino, Jacopo Maria Ricci
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Mathematics
Subjects:
stochastic dominance
portfolio optimization
reference distribution
skewness
multiasset investment
Online Access:https://www.mdpi.com/2227-7390/11/1/50

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https://www.mdpi.com/2227-7390/11/1/50

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