Frontiers of stochastically nondominated portfolios

Econometrica

Volumn 71, Issue 4, 2003, Pages 1287-1297

  Ruszczynski, Andrzej ^a   Vanderbei, Robert J ^b  

^a RUTGERS UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

Least absolute deviations; Linear programming; Mean risk analysis; Parametric simplex method; Portfolio optimization; Robust statistics; Stochastic dominance

Indexed keywords

LINEAR PROGRAMMING; MATHEMATICAL MODELS; OPTIMIZATION; PARAMETER ESTIMATION; PROBLEM SOLVING; STATISTICAL METHODS;

LEAST ABSOLUTE DEVIATIONS; MEAN RISK MODELS; PORTFOLIO OPTIMIZATION; STOCHASTIC DOMINANCE;

STOCHASTIC PROGRAMMING;

EID: 0141495114     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.t01-1-00448     Document Type: Note

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