Gains from diversification on convex combinations: A majorization and stochastic dominance approach

European Journal of Operational Research

Volumn 200, Issue 3, 2010, Pages 893-900

  Egozcue, Martin ^a   Wong, Wing Keung ^b  

^a UNIVERSIDAD DE LA REPÚBLICA   (Uruguay)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Diversification; Expected utility; Majorization; Portfolio selection; Stochastic dominance

Indexed keywords

DIVERSIFICATION; EXPECTED UTILITY; MAJORIZATION; PORTFOLIO SELECTION; STOCHASTIC DOMINANCE;

OPTIMIZATION;

DECISION THEORY;

EID: 69749106170     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.01.007     Document Type: Article

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