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Optimization with stochastic dominance constraints, submitted for publication

By Darinka Dentcheva and Andrzej Ruszczyński

Abstract

We 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

Topics: Portfolio optimization, stochastic dominance, risk, utility functions
Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.196.3379
Provided by: CiteSeerX
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