Measuring of second-order stochastic dominance portfolio efficiency

Kybernetika

Volumn 46, Issue 3, 2010, Pages 488-500

  Kopa, Miloš ^a,b  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

SSD portfolio efficiency measure; Stability; Stochastic dominance

Indexed keywords

EID: 77957782828     PISSN: 00235954     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (23)

1. D. Dentcheva, R. Henrion, and A. Ruszczyński: Stability and sensitivity of optimization problems with first order stochastic dominance constraints. SIAM J. Optim. 18 (2007), 322-333.
2. D. Dentcheva and A. Ruszczyński: Optimization with stochastic dominance constraints. SIAM J. Optim. 14 (2003), 548-566.
3. D. Dentcheva and A. Ruszczyński: Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Math. Programming 99 (2004), 329-350.
4. D. Dentcheva and A. Ruszczyński: Portfolio optimization with stochastic dominance constraints. J. Banking and Finance SO (2006), 2, 433-451.
5. G. Rudolf and A. Ruszczyński: Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods. SIAM J. Optim. 19 (2008), 3, 1326-1343.
6. J. Hadar and W. R. Russell: Rules for ordering uncertain prospects. Amer. Econom. Rev. 59 (1969), 1, 25-34.
7. G. Hanoch and H. Levy: The efficiency analysis of choices involving risk. Rev. Econom. Stud. 36 (1969), 335-346.
8. G. H. Hardy, J. E. Littlewood, and G. Polya: Inequalities. Cambridge University Press, Cambridge 1934.
9. M. Kopa and P. Chovanec: A second-order stochastic dominance portfolio efficiency measure. Kybernetika 44 (2008), 2, 243-258.
10. M. Kopa and T. Post: A portfolio optimality test based on the first-order stochastic dominance criterion. J. Financial and Quantitative Analysis 44 (2009), 5, 1103-1124.
11. M. Kopa: An efficient LP test, for SSD portfolio efficiency. Working paper, available at: http://ssrn.com/abstract=1340863.
12. T. Kuosmanen: Efficient diversification according to stochastic dominance criteria. Management Sci. 50 (2004), 10, 1390-1406.
13. H. Levy: Stochastic Dominance: Investment Decision Making Under Uncertainty. Second edition. Springer Science, New York 2006.
14. J. Luedtke: New formulations for optimization under stochastic dominance constraints. SIAM J. Optim. 19 (2008), 3, 1433-1450.
15. W. Ogryczak and A. Ruszczyński: Dual stochastic dominance and related mean-risk models. SIAM J. Optim. 13 (2002), 60-78.
16. G. Ch. Pflug: Some remarks on the value-at-risk and the conditional value-at-risk. In: Probabilistic Constrained Optimization: Methodology and Applications (S. Uryasev, ed.), Kluwer Academic Publishers, Norwell MA 2000, pp. 278-287.
17. T. Post: Empirical tests for stochastic dominance efficiency. J. Finance 58 (2003), 1905-1932.
18. D. Roman, K. Darby-Dowman, and G. Mitra: Portfolio construction based on stochastic dominance and target return distributions. Math. Programming, Series B 108 (2006), 541-569.
19. W. Römisch: Stability of stochastic programming problems. In: Stochastic Programming. Handbooks in Operations Research and Management Science 10 (A. Ruszczyński and A. Shapiro, eds.), Elsevier, Amsterdam 2003, pp. 483-554.
20. M. Rothschild and J. E. Stiglitz: Rules for ordering uncertain prospects. J. Economic Theory 2 (1969), 225-243.
21. A. Ruszczyński and R.J. Vanderbei: Frontiers of stochastically nondominated portfolios. Econometrica 71 (2003), 4, 1287-1297.
22. S. Uryasev and R.T. Rockafellar: Conditional value-at-risk for general loss distributions. J. Banking and Finance 26 (2002), 1443-1471.
23. G. A. Whitmore: Third degree stochastic dominance. Amer. Econom. Rev. 60 (1970), 457-459.