Work

Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Year: 2024

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.4713517

Authors: Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou

Institutions: Athens University of Economics and Business, University of Geneva, Swiss Finance Institute

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4391453947

Cites: 102

Cited by: 1

Related to: 10