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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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).

Název v anglickém jazyce

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

Popis výsledku anglicky

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).

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA18-05631S" target="_blank" >GA18-05631S: Stochastické optimalizační úlohy s endogenní nejistotou</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

251-256

Název nakladatele

UNIV SOUTH BOHEMIA CESKE BUDEJOVIC, FAC ECONOMICS

Místo vydání

CESKE BUDEJOVICE

Místo konání akce

Ceske Budejovice

Datum konání akce

11. 9. 2019

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000507570400041