On the dual test for SSD efficiency. With an application to momentum investment strategies

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1564-1573

  Post, Thierry ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Investment analysis; Linear programming; Stochastic dominance

Indexed keywords

ASSET MANAGEMENT; LINEAR PROGRAMMING; PROBLEM SOLVING; RANDOM PROCESSES; SET THEORY;

INVESTMENT ANALYSIS; STOCHASTIC DOMINANCE;

INVESTMENTS;

EID: 34848915490     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.08.010     Document Type: Article

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