Portfolio selection problem with the third-order stochastic dominance constraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329999" target="_blank" >RIV/00216208:11320/16:10329999 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Portfolio selection problem with the third-order stochastic dominance constraints
Original language description
In this paper, we focus on the mean maximization under third-order stochastic dominance constraints. The third-order stochastic dominance con- straints are approximated by so called "super-convex" third-order stochastic dominance constraints which compare the semivariance functions in various grid points. First, we compute the optimal solution of the problem when an ultra-fine grid is used, i.e. super-convex third-order stochastic dominance is a very good approximation of the third-order stochastic dominance. Then, we decrease the number of grid (partition) points (and consequently increase the speed of computations) and we compare the optimal solutions and optimal objective values for various numbers of partition points between each other. Finally, we use the second-order stochastic dominance constraints instead of the third-order ones and we again analyze the changes in the optimal solution and the optimal objective value.
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/GA15-02938S" target="_blank" >GA15-02938S: Stochastic dominance in operations research</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
436-441
Publisher name
Technical University of Liberec
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000385239500075