Portfolio optimization based on stochastic dominance and empirical likelihood

Keyphrases

• Optimization Approach 100%
• Empirical Likelihood 100%
• Stochastic Dominance 100%
• Portfolio Optimization 100%
• Estimation Method 20%
• Optimization Methods 20%
• Two-stage Procedure 20%
• Distribution-free 20%
• Linear Programming 20%
• Non-Gaussian 20%
• Momentum Strategy 20%
• Return Distribution 20%
• Moment Conditions 20%
• Decision Criteria 20%
• Convex Optimization 20%
• Industry Momentum 20%
• Implied Probabilities 20%
• Plug-in Approach 20%
• Weakly Dependent Processes 20%
• Goal Function 20%
• Likelihood Estimation 20%
• Out-of-sample Performance 20%
• Optimal Portfolio 20%
• Estimation Precision 20%
• Monte Carlo Simulation Experiment 20%

INIS

• optimization 100%
• stochastic processes 100%
• distribution 40%
• probability 40%
• performance 20%
• industry 20%
• applications 20%
• solutions 20%
• simulation 20%
• yields 20%
• benchmarks 20%
• precision 20%
• dynamics 20%
• monte carlo method 20%
• multivariate analysis 20%
• diversification 20%
• plugs 20%
• linear programming 20%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Estimation Theory 50%
• Monte Carlo Simulation 50%
• Industry Momentum 50%
• Convex Optimization 50%