We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We introduce the OEH model, which incorporates this fact when determining the optimal trading horizon for an order, an input required by many sophisticated execution strategies....

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Corporate social responsibility (CSR), as a concept that tackles economic, The introduction of private pension funds is the essence of the reform of the pension system in Serbia. Private pension funds in Serbia are based on voluntary benefits. Thus, the functioning of the pension system takes...

This paper finds the optimal consumption and asset allocation strategy for an Australian retiree who aims to maintain a level of minimum consumption. I use a discrete dynamic programming algorithm, with historical stock return distribution and a regime switching investment model, while taking...

Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment(LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and buyout cost, subject to a constraint on...