|edoc-Server der Humboldt-Universität zu Berlin|
Andrzej Ruszczynski, Rutgers University|
Robert J. Vanderbei, Princeton University
|Title:||Frontiers of stochastically nondominated portfolios|
|Date of Acceptance:||24.10.2002|
Stochastic Programming E-Print Series |
|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|
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.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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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