TY - JOUR
T1 - Portfolio optimization with stochastic dominance constraints
AU - Dentcheva, Darinka
AU - Ruszczyński, Andrzej
PY - 2006/2
Y1 - 2006/2
N2 - 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.
AB - 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.
KW - Duality
KW - Portfolio optimization
KW - Risk
KW - Stochastic dominance
KW - Stochastic order
KW - Utility function
UR - http://www.scopus.com/inward/record.url?scp=32944464353&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=32944464353&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2005.04.024
DO - 10.1016/j.jbankfin.2005.04.024
M3 - Article
AN - SCOPUS:32944464353
SN - 0378-4266
VL - 30
SP - 433
EP - 451
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 2
ER -