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2002-10-24Buch DOI: 10.18452/8280
Frontiers of stochastically nondominated portfolios
Ruszczynski, Andrzej
Vanderbei, Robert J.
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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DOI
10.18452/8280
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