Portfolio Optimization With Stochastic Dominance Constraints

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided.

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Year of publication:	2004-02-19
Authors:	Dentcheva, Darinka ; Ruszczynski, Andrzej
Institutions:	EconWPA
Subject:	portfolio optimization \| stochastic dominance \| risk \| utility functions \| duality

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on WinXP; to print on any;
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005561562