Portfolio optimization with stochastic dominance constraints
AbstractWe consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 30 (2006)
Issue (Month): 2 (February)
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Other versions of this item:
- Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006.
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