Andrzej Ruszczynski, Rutgers University
(SPEPS)
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| edoc-Server der Humboldt-Universität zu Berlin |
| 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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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 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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