Stochastic Dominance Constrained Portfolio Optimization with Distortion Risk Measures

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10472039" target="_blank" >RIV/00216208:11320/22:10472039 - isvavai.cz</a>
Result on the web
<a href="https://mme2022.vspj.cz/download/proceedings-4.pdf" target="_blank" >https://mme2022.vspj.cz/download/proceedings-4.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stochastic Dominance Constrained Portfolio Optimization with Distortion Risk Measures
Original language description
The paper deals with risk-minimizing, stochastic dominance constrained portfolio optimization problems where the risk is modeled by distortion measures. These measures could be seen as a generalization of Value at Risk, Conditional Value at Risk or Expected shortfall. If the associated distortion function is concave the measure is coherent. We analyze several such portfolio selection problems for different choices of a concave distortion function. First, assuming a discrete distribution of returns, we identify in sample optimal portfolios with and without second order stochastic dominance constraints. Then we compute the out-of-sample characteristics. Finally, we compare the in sample and out-of-sample results of all considered models among each other.
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
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
40TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS 2022
ISBN
978-80-88064-62-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
187-192
Publisher name
COLL POLYTECHNICS JIHLAVA
Place of publication
JIHLAVA
Event location
Jihlava
Event date
Sep 7, 2022
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000936355000029

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