Frontiers of Stochastically Nondominated Portfolios

Andrzej Ruszczynski () and Robert J. Vanderbei

Econometrica, 2003, vol. 71, issue 4, 1287-1297

Abstract: 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. Copyright The Econometric Society 2003.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:71:y:2003:i:4:p:1287-1297

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