Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091605 | Journal of Banking & Finance | 2006 | 19 Pages |
Abstract
We consider the problem of constructing a portfolio of finitely many assets whose return rates are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return rate. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Darinka Dentcheva, Andrzej RuszczyÅski,