Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

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Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev;
  • Publisher: Basel: MDPI
  • Journal: issn: 1911-8074
  • Publisher copyright policies & self-archiving
  • Identifiers: doi: 10.3390/jrfm9040011
  • Subject: DAX index | portfolio selection | HD61 | portfolio optimization | S&P 100 Index | CVaR | conditional value-at-risk | Dow Jones Index | partial moment | HG1-9999 | stochastic dominance | S&amp | stochastic order | Risk in industry. Risk management | P 100 Index | Finance
    • ddc: ddc:330
    arxiv: Computer Science::Computational Engineering, Finance, and Science | Statistics::Other Statistics | Mathematics::Optimization and Control

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution o... View more
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