Frontiers of Stochastically Nondominated Portfolios
نویسندگان
چکیده
منابع مشابه
Frontiers of Stochastically Nondominated Portfolios
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 which 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...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2003
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.t01-1-00448