|edoc-Server der Humboldt-Universität zu Berlin|
C.I. Fábián, Loránd Eötvös Univ.|
G. Mitra, Brunel University
D. Roman, Brunel University
V. Zverovich, Brunel University
|Title:||An enhanced model for portfolio choice with SSD criteria: a constructive approach|
|Date of Acceptance:||22.04.2009|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10097673)|
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|We formulate a portfolio planning model which is based on Second-order Stochastic Dominance as the choice criterion. This model is an enhanced version of the multi-objective model proposed by Roman, Darby-Dowman, and Mitra (2006); the model compares the scaled values of the different objectives, representing tails at different conﬁdence levels of the resulting distribution. The proposed model can be formulated as risk minimisation model where the objective function is a convex risk measure; we characterise this risk measure and the resulting optimisation problem. Moreover, our formulation oﬀers a natural generalisation of the SSD-constrained model of Dentcheva and Ruszczynski (2006). A cutting plane-based solution method for the proposed model is outlined. We present a computational study showing: (a) the effectiveness of the solution methods and (b) the improved modelling capabilities: the resulting portfolios have superior return distributions.|
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