Frontiers of stochastically nondominated portfolios

• 成果类型: Article
• 署名作者: Ruszczynski, A; Vanderbei, RJ
• 署名单位: Rutgers University System; Rutgers University New Brunswick; Princeton University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• 发表日期: 2003
• 页码: 1287-1297
• 关键词: MEAN-RISK MODELS; dominance; utility

摘要

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose mean-risk models that are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean-risk efficient frontiers of these models and we illustrate its operation on a large data set involving thousands of assets and realizations.