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2002-10-24Buch DOI: 10.18452/8280
Frontiers of stochastically nondominated portfolios
dc.contributor.authorRuszczynski, Andrzej
dc.contributor.authorVanderbei, Robert J.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:49:16Z
dc.date.available2017-06-16T19:49:16Z
dc.date.created2006-02-22
dc.date.issued2002-10-24
dc.date.submitted2002-04-22
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8932
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic dominanceeng
dc.subjectlinear programmingeng
dc.subjectFenchel dualityeng
dc.subjectmean-risk analysiseng
dc.subjectPortfolio optimizationeng
dc.subjectleast absolute deviationseng
dc.subjectparametric simplex methodeng
dc.subjectrobust statisticseng
dc.subject.ddc510 Mathematik
dc.titleFrontiers of stochastically nondominated portfolios
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8932-8
dc.identifier.doihttp://dx.doi.org/10.18452/8280
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameEconometric Society [u.a.]
local.edoc.container-publisher-placeEvanston, Ill. [u.a.]
local.edoc.container-volume2002
local.edoc.container-issue16
local.edoc.container-year2003
local.edoc.container-erstkatid2936317-2

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