Ruszczynski, Andrzej; Vanderbei, Robert J. - In: Econometrica 71 (2003) 4, pp. 1287-1297
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution.We propose mean-risk models that are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order...