Zhou, Liang and Tian, Tian (2024) Momentum effect based on stochastic dominance theory —— Evidence from Chinese Shanghai Stock Exchange A-share. In: Proceedings of the 5th International Conference on E-Commerce and Internet Technology, ECIT 2024, March 15–17, 2024, Changsha, China.
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Abstract
This paper employs portfolio optimization models based on second-order stochastic dominance and "super-convex" third-order stochastic dominance, comparing them with an equal-weight portfolio optimization model. Through the computation of out-of-sample indicators for portfolio evaluation, it is foun
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 17:37 |
| Last Modified: | 16 Apr 2026 23:35 |
| URI: | http://eprints.eai.eu/id/eprint/49104 |
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