Portfolio selection problems consistent with given preference orderings
The paper is a survey on the connection between portfolio theory and ordering theory. The authors examine three main approaches to portfolio selection and respective stochastic orderings. These are:NEWLINENEWLINE-- selection based on the risk aversion of an investor and risk orderings (stochastic dominances, inverse stochastic dominances and behavioral finance orderings);NEWLINENEWLINE-- selection based on the variability aversion and variability orderings (convex orderings);NEWLINENEWLINE-- selection based on the benchmark and tracking-error orderings (orderings corresponding to probability distances).NEWLINENEWLINEFurthermore the authors discuss the properties of corresponding measures i.e. the risk measures, variability measures and tracking-error measures. The paper is concluded with an empirical analysis based on data from the US stock market.
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