Reward-Risk Portfolio Selection and Stochastic Dominance

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Testing for Stochastic Dominance Efficiency (2010, background): “Note that De Giorgi (2005) solves a portfolio selection problem based on reward-risk measures consistent with secondorder stochastic dominance.”
Generalized deviations in risk analysis (2006, background): “Deviation-like axioms have also been considered recently by De Giorgi [5], but from another, more special point of view, having only partial overlap with what we consider essential for a “deviation.””
Stochastic Orders and Risk Measures: Consistency and Bounds (2006, unknown): “De Giorgi (2005) uses consistency with respect to second order stochastic dominance as an axiom in his deﬁnition of a risk measure.”
Portfolio performance evaluation with loss aversion (2010, unknown): “yDe Giorgi and Hens (2006) were the first to note that the solution to the optimal capital allocation problem does not exist if the investor has the utility function as in PT with 1⁄4 .”
Optimal Financial Portfolios (2007, unknown): “The solution of Problem (7) will be called the -market portfolio or -tangent portfolio with zero risk-free rate.”
Higher moment coherent risk measures (2007, methodology): “…the second-order stochastic dominance if Z z 1 P½X t dt Z z 1 P½Y t dt for all z 2 R: Since coherent risk measures are generally inconsistent with the second-order stochastic dominance (see an example in De Giorgi (2005)), it is of interest to introduce risk measures that comply with this property.”