Minimal Risk Portfolios under SSD efficiency constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282967" target="_blank" >RIV/00216208:11320/14:10282967 - isvavai.cz</a>
Result on the web
<a href="http://www.mme2014.upol.cz/conference-proceedings" target="_blank" >http://www.mme2014.upol.cz/conference-proceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Minimal Risk Portfolios under SSD efficiency constraints
Original language description
This paper deals with new types of optimization problems when minimizing a risk of a portfolio under a condition on portfolio mean return and over portfolios which are classified as efficient with respect to second-order stochastic dominance (SSD) criterion. These problems can be seen as generalizations of classical mean-risk models where a risk measure is minimized under condition on portfolio mean return. The crucial condition on the second order stochastic dominance efficiency is expressed in terms of existence of "optimal" utility function which obeys SSD rules. It means that new problems find portfolios having minimal particular risk measure (variance, Value at Risk, conditional Value at Risk), with at least minimal required mean return and beingthe optimal solution of maximization expected utility problems for at least one non-decreasing and concave utility function. This study reformulates these new problems in linear, nonlinear, mixed-integer programs. Moreover, using US stock
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP402%2F12%2F0558" target="_blank" >GAP402/12/0558: Efficiency and risk control in decision making</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings of the 32nd International Conference Mathematical Methods in Economics MME 2014
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
465-470
Publisher name
Palacký University
Place of publication
Omlomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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