Robert J. Vanderbei, Princeton University
(SPEPS)
Econometric Society [u.a.] (Evanston, Ill. [u.a.])
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Andrzej Ruszczynski, Rutgers University Robert J. Vanderbei, Princeton University | Title: | Frontiers of stochastically nondominated portfolios |
| Date of Acceptance: | 24.10.2002 |
| Submission Date: | 22.04.2002 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | stochastic dominance, linear programming, Fenchel duality, mean-risk analysis, Portfolio optimization, least absolute deviations, parametric simplex method, robust statistics |
| Appeared in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 4 (Vol. 71, 2003)
Econometric Society [u.a.] (Evanston, Ill. [u.a.]) |
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To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 which are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean-risk efficient frontiers of these models and we illustrate its operation on a large data set involving thousands of assets and realizations. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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