Portfolio Optimization with Risk Control by Stochastic Dominance Constraints

DOI10.1007/978-1-4419-1642-6_9MaRDI QIDQ3001275zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 31 May 2011

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-1642-6_9

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) One- and multidimensional scaling in the social and behavioral sciences (91C15) Utility theory (91B16)

Recommendations

• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Stochastic dominance and optimal portfolio
• Stochastic portfolio optimization with default risk
• Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Portfolio optimization with wealth-dependent risk constraints
• Multistage portfolio optimization with multivariate dominance constraints
• Dynamic portfolio optimization with risk management and strategy constraints
• CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
• The dynamic control of risk in optimised portfolios

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Cited in

(27)

• On the price of risk in a mean-risk optimization model
• Portfolio model of risk management with second order stochastic dominant constraints and transaction costs
• A new rank dependent utility approach to model risk averse preferences in portfolio optimization
• Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods
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• CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
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• Stochastic dominance for sequences and implied utility in dynamic optimization
• Stochastic dominance and optimal portfolio
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