Milos Kopa

Charles University in Prague - Faculty of Mathematics and Physics

Sokolovska 83

Prague, 186 75

Czech Republic

  • Charles University in Prague - Faculty of Mathematics and Physics

SCHOLARLY PAPERS

4

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18

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8

Scholarly Papers (4)

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1.

Portfolio Choice Based on Third-Degree Stochastic Dominance

Number of pages: 31 Posted: 08 Nov 2015 Last Revised: 28 Mar 2016
Thierry Post and Milos Kopa
Graduate School of Business of Nazarbayev University and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 394 (146,817)
Citation 1

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Portfolio choice, Stochastic dominance, Quadratic programming, Enhanced indexing, Industry momentum

2.

A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, pp. 1103-1124, 2009
Number of pages: 33 Posted: 13 May 2005 Last Revised: 25 Mar 2016
Thierry Post and Milos Kopa
Graduate School of Business of Nazarbayev University and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 270 (219,787)

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stochastic dominance, optimality, admissibility, portfolio diversification

3.

A General Test for SSD Portfolio Efficiency

OR Spectrum, Vol. 37, No. 3, 2015, 703-734
Number of pages: 36 Posted: 28 Apr 2011 Last Revised: 01 Jul 2015
Milos Kopa and Thierry Post
Charles University in Prague - Faculty of Mathematics and Physics and Graduate School of Business of Nazarbayev University
Downloads 204 (287,737)
Citation 16

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stochastic dominance, portfolio analysis, portfolio diversification, linear programming

4.

Portfolio Optimization with DARA Stochastic Dominance Constraints

Number of pages: 43 Posted: 02 Nov 2017 Last Revised: 12 Nov 2018
Milos Kopa and Thierry Post
Charles University in Prague - Faculty of Mathematics and Physics and Graduate School of Business of Nazarbayev University
Downloads 190 (307,022)
Citation 1

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Portfolio choice, Stochastic Dominance, Decreasing Absolute Risk Aversion, Quadratic Programming, Active investment strategies