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Portfolio Optimization with DARA Stochastic Dominance Constraints

Kopa, Milos - 2018

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

Persistent link: https://www.econbiz.de/10012932280

Production and inventory planning under decreasing absolute risk aversion : a unified approach for sensitivity analysis

Seshadri, Sridhar; Wu, Qi - In: Risk and decision analysis 5 (2014) 1, pp. 63-73

Persistent link: https://www.econbiz.de/10010492581

Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints

Escudero, Laureano F.; Garín, María Araceli; Merino, … - 2015

Persistent link: https://www.econbiz.de/10010506751

An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 58 (2015), pp. 32-40

Persistent link: https://www.econbiz.de/10010509424

Risk averse submodular utility maximization

Maehara, Takanori - In: Operations research letters 43 (2015) 5, pp. 526-529

Persistent link: https://www.econbiz.de/10011386462

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425

Persistent link: https://www.econbiz.de/10011944387

Portfolio Optimization with Higher-Order Stochastic Dominance Constraints

Fang, Yi - 2019

constructing enhanced portfolios which dominate the benchmark for the relevant class of risk averters. The system can be … expands the set of improvement possibilities and mitigates the risk of suboptimality due to estimation error. A simulation …

Persistent link: https://www.econbiz.de/10012871881

On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Černý, Aleš; Maccheroni, Fabio; Marinacci, Massimo; … - 2020

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated...

Persistent link: https://www.econbiz.de/10014214161

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

Persistent link: https://www.econbiz.de/10011877232

Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk

Gulten, Sitki - 2013

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …

Persistent link: https://www.econbiz.de/10013091376