Robustness of optimal portfolios under risk and stochastic dominance constraints

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282904" target="_blank" >RIV/00216208:11320/14:10282904 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.ejor.2013.06.018" target="_blank" >http://dx.doi.org/10.1016/j.ejor.2013.06.018</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ejor.2013.06.018" target="_blank" >10.1016/j.ejor.2013.06.018</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Robustness of optimal portfolios under risk and stochastic dominance constraints

Popis výsledku v původním jazyce

Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with output analysis and stress testing with respect to uncertainty or perturbations of input data for static risk constrained portfolio optimization problems by means of the contamination technique. Dependence of theset of feasible solutions on the probability distribution rules out the straightforward construction of convexitybased global contamination bounds. Results obtained in our paper [Dupacova, J., 82 Kopa, M. (2012). Robustness in stochastic programs with risk constraints. Annals of Operations Research, 200, 55-74.] were derived for the risk and second order stochastic dominance constraints under suitable smoothness and/or convexity assumptions that are fulfilled, e.g. for the Markowitz mea

Název v anglickém jazyce

Robustness of optimal portfolios under risk and stochastic dominance constraints

Popis výsledku anglicky

Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with output analysis and stress testing with respect to uncertainty or perturbations of input data for static risk constrained portfolio optimization problems by means of the contamination technique. Dependence of theset of feasible solutions on the probability distribution rules out the straightforward construction of convexitybased global contamination bounds. Results obtained in our paper [Dupacova, J., 82 Kopa, M. (2012). Robustness in stochastic programs with risk constraints. Annals of Operations Research, 200, 55-74.] were derived for the risk and second order stochastic dominance constraints under suitable smoothness and/or convexity assumptions that are fulfilled, e.g. for the Markowitz mea

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Journal of Operational Research

ISSN

0377-2217

e-ISSN

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Svazek periodika

234

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

8

Strana od-do

434-441

Kód UT WoS článku

000330750400010

EID výsledku v databázi Scopus

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