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SPEPS Preprint

Author(s): 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
Submission Date: 30.01.2009
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10097673)
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Abstract (eng):
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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