Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics

DOI10.1111/ITOR.12435OpenAlexW2737899722MaRDI QIDQ6069774

Selvamuthu Dharmaraja, Arti Singh

Publication date: 17 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12435

zbMATH Keywords

convex programmingrisk aversionstochastic dominanceoptimal tradingexecution costautoregressive behavior

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (3)

Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Deviation measure in second‐order stochastic dominance with an application to enhanced indexing ⋮ Sectoral portfolio optimization by judicious selection of financial ratios via PCA

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