Robust First Order Stochastic Dominance in Portfolio Optimization

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10473038" target="_blank" >RIV/00216208:11320/21:10473038 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Robust First Order Stochastic Dominance in Portfolio Optimization
Original language description
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfolio to dominate a benchmark. Since the distribution of returns is often just estimated from data, we look for the worst distribution that differs from empirical distribution at maximum by a predefined value. First, we define in what sense the distribution is the worst for the first order stochastic dominance. We derive a robust stochastic dominance test for the first order stochastic dominance and find the worst-case distribution as the optimal solution of a non-linear maximization problem. We apply the derived optimization programs to real life data, specifically to returns of assets captured by Dow Jones Industrial Average, and we analyze the problems in detail using optimal solutions of the optimization programs with multiple setups.
Czech name
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Czech description
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Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021)
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
269-274
Publisher name
Czech Univ Life Sciences Prague
Place of publication
Prague 6
Event location
Prague
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700044

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