Robustness of optimal portfolios under risk and stochastic dominance constraints

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282904" target="_blank" >RIV/00216208:11320/14:10282904 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ejor.2013.06.018" target="_blank" >http://dx.doi.org/10.1016/j.ejor.2013.06.018</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ejor.2013.06.018" target="_blank" >10.1016/j.ejor.2013.06.018</a>

Result language
angličtina
Original language name
Robustness of optimal portfolios under risk and stochastic dominance constraints
Original language description
Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with output analysis and stress testing with respect to uncertainty or perturbations of input data for static risk constrained portfolio optimization problems by means of the contamination technique. Dependence of theset of feasible solutions on the probability distribution rules out the straightforward construction of convexitybased global contamination bounds. Results obtained in our paper [Dupacova, J., 82 Kopa, M. (2012). Robustness in stochastic programs with risk constraints. Annals of Operations Research, 200, 55-74.] were derived for the risk and second order stochastic dominance constraints under suitable smoothness and/or convexity assumptions that are fulfilled, e.g. for the Markowitz mea
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)