We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided
This contribution focuses on the sets of efficient portfolios and their properties, given the class ...
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization m...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
The main topic of this thesis is the application of stochastic dominance constrains to portfolio opt...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basi...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
In this paper, we study extensions of the classical Markowitz’ mean-variance portfolio optimization ...
This project is focused on stochastic models and methods and their application in portfolio optimiza...
The paper provides restrictions on the investor's utility function which are sufficient for a domina...
Enhanced Indexation is the selection of a portfolio that should produce a return in excess to that o...
This contribution focuses on the sets of efficient portfolios and their properties, given the class ...
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization m...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
We consider the problem of constructing a portfolio of finitely many assets whose returns are descri...
The main topic of this thesis is the application of stochastic dominance constrains to portfolio opt...
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop...
We use modern approach of stochastic dominance in portfolio optimization, where we want the portfoli...
Portfolio optimization models are usually based on several distribution characteristics, such as mea...
This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basi...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
In this paper, we study extensions of the classical Markowitz’ mean-variance portfolio optimization ...
This project is focused on stochastic models and methods and their application in portfolio optimiza...
The paper provides restrictions on the investor's utility function which are sufficient for a domina...
Enhanced Indexation is the selection of a portfolio that should produce a return in excess to that o...
This contribution focuses on the sets of efficient portfolios and their properties, given the class ...
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization m...
textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes su...