Second order stochastic dominance constraints in decision dependent randomness portfolio optimization problems

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419091" target="_blank" >RIV/00216208:11320/20:10419091 - isvavai.cz</a>
Result on the web
<a href="https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf" target="_blank" >https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Second order stochastic dominance constraints in decision dependent randomness portfolio optimization problems
Original language description
The paper deals with stochastic portfolio optimization problems which maximize a given functional under second - order stochastic dominance constraints in presence of endogenous randomness. Endogenous randomness (or decision dependent randomness) means that the probability distribution of asset returns may depend on the decision variables, i.e. on the weights associated to the assets. This may occur typically in the high frequency trading or in the illiquid markets, when a massive investment of one investor may attract others investors, at least for a small time period. Firstly, we modify the classical second-order stochastic dominance relation between returns of two given portfolios for the case with endogenous randomness of returns. Secondly, we apply this new constraint to the portfolio optimization problem. Finally, we present an example demonstrating the differences in optimal portfolios when endogenous randomness is omitted (exogenous randomness is assumed).
Czech name
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Czech description
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Project
<a href="/en/project/GA18-05631S" target="_blank" >GA18-05631S: Stochastic optimization problems with endogenous uncertainty</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
37TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
251-256
Publisher name
UNIV SOUTH BOHEMIA CESKE BUDEJOVIC, FAC ECONOMICS
Place of publication
CESKE BUDEJOVICE
Event location
Ceske Budejovice
Event date
Sep 11, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000507570400041

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