In this paper, we compare two of the main paradigms of portfolio theory: mean variance
analysis and expected utility. In particular, we show empirically that mean variance efficient …

Jet fuel plays a crucial role as an essential energy source in aerospace and aviation
operations. The recent increase in fuel prices has presented airlines with the new challenge …

In this study, we investigate whether sector-weighted portfolios based on alternative
parametric assumptions are consistent with multivariate stochastic dominance (MSD) …

The class of α-stable distributions is widely used in various applications, especially for
modeling heavy-tailed data. Although the α-stable distributions have been used in practice …

This paper contributes to the research on multi-pillar pension systems with main focus on
private pension funds (PFs). In this context, the specific objective of this study is to determine …

We provide a simple method for deriving second-order stochastic dominance between
multiparametric families which can be decomposed into a functional composition of two …

We aim to examine the portfolio diversification effects of sustainable assets on financial and
energy market assets from two new bird's-eye perspectives of distribution normality and …

We study the problem of the Monte Carlo estimation of the right tail of the distribution of the
sum of correlated log-normal random variables. While a number of theoretically efficient …

The focus of this article is modeling the magnitude and duration of monotone periods of log‐
returns. For this, we propose a new bivariate law assuming that the probabilistic framework …

The Lorenz dominance is a primary tool for comparison of non-negative distributions in
terms of inequality. However, in most of cases Lorenz curves intersect and the ordering is …