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SPEPS Preprint

Author(s): Darinka Dentcheva, Stevens Institute of Technology
Andrzej Ruszczynski, Rutgers University
Title: Portfolio optimization with stochastic dominance constraints
Date of Acceptance: 30.09.2003
Submission Date: 24.08.2003
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10059223)
Keywords (eng): stochastic dominance, risk, Portfolio optimization, utility functions
Appeared in: Journal of Banking and Finance (Vol. 30, 2006)
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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 a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided.
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