메뉴 건너뛰기




Volumn 46, Issue 2, 2000, Pages 289-301

Third degree stochastic dominance and mean-risk analysis

Author keywords

[No Author keywords available]

Indexed keywords

FINANCE; MATHEMATICAL MODELS; RISK MANAGEMENT;

EID: 0033906563     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.2.289.11928     Document Type: Article
Times cited : (48)

References (23)
  • 2
    • 0000034550 scopus 로고
    • Stochastic dominance: A research bibliography
    • Bawa, V. S. 1982. Stochastic dominance: A research bibliography. Management Sci. 28 698-712.
    • (1982) Management Sci. , vol.28 , pp. 698-712
    • Bawa, V.S.1
  • 3
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., M. Scholes. 1973. The pricing of options and corporate liabilities. J. Political Economy 81 637-654.
    • (1973) J. Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 4
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, J. C., J. E. Ingersoll, S. A. Ross. 1985. A theory of the term structure of interest rates. Econometrica 53 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 0000096680 scopus 로고
    • Mean-risk analysis with risk associated with below-target returns
    • _ 1977. Mean-risk analysis with risk associated with below-target returns. Amer. Econom. Rev. 67 116-126.
    • (1977) Amer. Econom. Rev. , vol.67 , pp. 116-126
  • 7
    • 0002776190 scopus 로고
    • Stochastic dominance and moments of distributions
    • _ 1980. Stochastic dominance and moments of distributions. Math. Oper. Res. 5 94-100.
    • (1980) Math. Oper. Res. , vol.5 , pp. 94-100
  • 8
    • 84963089164 scopus 로고
    • The efficiency analysis of choice involving risk
    • Hanoch, G., H. Levy. 1969. The efficiency analysis of choice involving risk. Rev. Econom. Stud. 36 335-346.
    • (1969) Rev. Econom. Stud. , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 10
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull, J., A. White. 1987. The pricing of options on assets with stochastic volatilities. J. Finance 42 281-300.
    • (1987) J. Finance , vol.42 , pp. 281-300
    • Hull, J.1    White, A.2
  • 12
    • 0005055081 scopus 로고
    • A mean-variance-skewness portfolio optimization model
    • _, K. Suzuki. 1995. A mean-variance-skewness portfolio optimization model. J. Oper. Res. Soc. Japan 38 173-187.
    • (1995) J. Oper. Res. Soc. Japan , vol.38 , pp. 173-187
    • Suzuki, K.1
  • 13
    • 21344487416 scopus 로고
    • A mean-absolute deviation skewness portfolio optimization model
    • Konno, H., H. Shirakawa, H. Yamazaki. 1993. A mean-absolute deviation skewness portfolio optimization model. Ann. Oper. Res. 45 205-220.
    • (1993) Ann. Oper. Res. , vol.45 , pp. 205-220
    • Konno, H.1    Shirakawa, H.2    Yamazaki, H.3
  • 14
    • 0000198961 scopus 로고    scopus 로고
    • A branch and bound algorithm for solving mean-risk-skewness portfolio models
    • _, T. Suzuki, D. Kobayashi. 1998. A branch and bound algorithm for solving mean-risk-skewness portfolio models. Optim. Methods and Softwares 10 297-317.
    • (1998) Optim. Methods and Softwares , vol.10 , pp. 297-317
    • Suzuki, T.1    Kobayashi, D.2
  • 15
    • 0000863801 scopus 로고
    • Mean absolute deviation portfolio optimization model and its application to Tokyo Stock Market
    • _, H. Yamazaki. 1991. Mean absolute deviation portfolio optimization model and its application to Tokyo Stock Market. Management Sci. 37 519-531.
    • (1991) Management Sci. , vol.37 , pp. 519-531
    • Yamazaki, H.1
  • 16
    • 0001631126 scopus 로고
    • Stochastic dominance and expected utility: Survey and analysis
    • Levy, H. 1992. Stochastic dominance and expected utility: Survey and analysis. Management Sci. 38 555-593.
    • (1992) Management Sci. , vol.38 , pp. 555-593
    • Levy, H.1
  • 17
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. M. 1952. Portfolio selection. J. Finance 7 77-91.
    • (1952) J. Finance , vol.7 , pp. 77-91
    • Markowitz, H.M.1
  • 18
    • 0004289472 scopus 로고
    • John Wiley & Sons, New York
    • _ 1959. Portfolio Selection. John Wiley & Sons, New York.
    • (1959) Portfolio Selection
  • 19
    • 0345634198 scopus 로고    scopus 로고
    • From stochastic dominance to mean-risk models: Semideviations as risk measures
    • Ogryczak, W., A. Ruszczyński. 1999. From stochastic dominance to mean-risk models: Semideviations as risk measures. European J. Oper. Res. 116 33-50.
    • (1999) European J. Oper. Res. , vol.116 , pp. 33-50
    • Ogryczak, W.1    Ruszczyński, A.2
  • 20
    • 0000399827 scopus 로고
    • Stochastic dominance vs. meanvariance portfolio analysis
    • Porter, R. B., J. E. Gaumnitz. 1972. Stochastic dominance vs. meanvariance portfolio analysis. Amer. Econom. Rev. 62 438-446.
    • (1972) Amer. Econom. Rev. , vol.62 , pp. 438-446
    • Porter, R.B.1    Gaumnitz, J.E.2
  • 21
    • 0001676735 scopus 로고
    • Semivariance and stochastic dominance: A comparison
    • _ 1974. Semivariance and stochastic dominance: A comparison. Amer. Econom. Rev. 64 200-204.
    • (1974) Amer. Econom. Rev. , vol.64 , pp. 200-204
  • 23
    • 0001695366 scopus 로고
    • Stochastic dominance, mean variance, and Gini's mean difference
    • Yitzhaki, S. 1982. Stochastic dominance, mean variance, and Gini's mean difference. Amer. Econom. Rev. 72 178-185.
    • (1982) Amer. Econom. Rev. , vol.72 , pp. 178-185
    • Yitzhaki, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.