Deviation measure in second-order stochastic dominance with an application to enhanced indexing

2019 ◽  
Author(s):  
Anubha Goel ◽  
Amita Sharma
Keyword(s):  
Stochastic Dominance ◽  
Second Order ◽  
Order Stochastic Dominance ◽  
Deviation Measure ◽  
Second Order Stochastic Dominance

Visualizing the Variance of a Random Variable

2011 ◽  
Vol 18 (01) ◽  
pp. 71-85
Author(s):  
Fabrizio Cacciafesta
Keyword(s):  
Stochastic Dominance ◽  
Mean Absolute Error ◽  
Random Variable ◽  
Absolute Error ◽  
Second Order ◽  
Taylor Formula ◽  
Order Stochastic Dominance ◽  
The Mean ◽  
Second Order Stochastic Dominance ◽  
Options Theory

We provide a simple way to visualize the variance and the mean absolute error of a random variable with finite mean. Some application to options theory and to second order stochastic dominance is given: we show, among other, that the "call-put parity" may be seen as a Taylor formula.

scholarly journals Novel approaches for portfolio construction using second order stochastic dominance

2017 ◽  
Vol 14 (2) ◽  
pp. 257-280 ◽  
Author(s):  
Cristiano Arbex Valle ◽  
Diana Roman ◽  
Gautam Mitra
Keyword(s):  
Stochastic Dominance ◽  
Second Order ◽  
Portfolio Construction ◽  
Order Stochastic Dominance ◽  
Novel Approaches ◽  
Second Order Stochastic Dominance

A Kolmogorov-type test for second-order stochastic dominance

1998 ◽  
Vol 37 (2) ◽  
pp. 183-193 ◽  
Author(s):  
Friedrich Schmid ◽  
Mark Trede
Keyword(s):  
Stochastic Dominance ◽  
Second Order ◽  
Kolmogorov Type ◽  
Order Stochastic Dominance ◽  
Type Test ◽  
Second Order Stochastic Dominance

scholarly journals Improved Portfolio Choice Using Second Order Stochastic Dominance

2010 ◽  
Author(s):  
James E. Hodder ◽  
Jens Carsten Jackwerth ◽  
Olga Kolokolova
Keyword(s):  
Portfolio Choice ◽  
Stochastic Dominance ◽  
Second Order ◽  
Order Stochastic Dominance ◽  
Second Order Stochastic Dominance

scholarly journals Whale Optimization Algorithm for Multiconstraint Second-Order Stochastic Dominance Portfolio Optimization

2020 ◽  
Vol 2020 ◽  
pp. 1-19
Author(s):  
Q. H. Zhai ◽  
T. Ye ◽  
M. X. Huang ◽  
S. L. Feng ◽  
H. Li
Keyword(s):  
Portfolio Optimization ◽  
Optimization Algorithm ◽  
Stochastic Dominance ◽  
Optimization Model ◽  
Second Order ◽  
Whale Optimization Algorithm ◽  
Order Stochastic Dominance ◽  
Whale Optimization ◽  
Portfolio Optimization Model ◽  
Second Order Stochastic Dominance

In the field of asset allocation, how to balance the returns of an investment portfolio and its fluctuations is the core issue. Capital asset pricing model, arbitrage pricing theory, and Fama–French three-factor model were used to quantify the price of individual stocks and portfolios. Based on the second-order stochastic dominance rule, the higher moments of return series, the Shannon entropy, and some other actual investment constraints, we construct a multiconstraint portfolio optimization model, aiming at comprehensively weighting the returns and risk of portfolios rather than blindly maximizing its returns. Furthermore, the whale optimization algorithm based on FTSE100 index data is used to optimize the above multiconstraint portfolio optimization model, which significantly improves the rate of return of the simple diversified buy-and-hold strategy or the FTSE100 index. Furthermore, extensive experiments validate the superiority of the whale optimization algorithm over the other four swarm intelligence optimization algorithms (gray wolf optimizer, fruit fly optimization algorithm, particle swarm optimization, and firefly algorithm) through various indicators of the results, especially under harsh constraints.

scholarly journals Tests for the Second Order Stochastic Dominance Based onL-Statistics

2011 ◽  
Vol 29 (2) ◽  
pp. 260-270 ◽  
Author(s):  
José R. Berrendero ◽  
Javier Cárcamo
Keyword(s):  
Stochastic Dominance ◽  
Second Order ◽  
Order Stochastic Dominance ◽  
Second Order Stochastic Dominance

scholarly journals Enhanced Indexation Based on Second-Order Stochastic Dominance

2011 ◽  
Author(s):  
Diana Roman ◽  
Gautam Mitra ◽  
Victor Zviarovich
Keyword(s):  
Stochastic Dominance ◽  
Second Order ◽  
Order Stochastic Dominance ◽  
Second Order Stochastic Dominance ◽  
Enhanced Indexation
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