Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • View Item
2009-04-22Buch DOI: 10.18452/8400
An enhanced model for portfolio choice with SSD criteria: a constructive approach
Fábián, C.I.
Mitra, G.
Roman, D.
Zverovich, V.
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 asrisk 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 thesolution methods and (b) the improved modelling capabilities: the resulting portfolios have superior return distributions.
Files in this item
Thumbnail
2.pdf — Adobe PDF — 204.0 Kb
MD5: 617c2b35f42a84108499b7dcf1f5165c
Cite
BibTeX
EndNote
RIS
InCopyright
Details
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/8400
Permanent URL
https://doi.org/10.18452/8400
HTML
<a href="https://doi.org/10.18452/8400">https://doi.org/10.18452/8400</a>