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

By Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou

Published 2024-02-02

Everscope rating

1568.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Sparse Second-Order Stochastic Dominance Spanning. Problem types: Portfolio Optimization, Risk Management.

arXiv:2402.01951 · Paper rankings

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