Frontiers of Stochastically Nondominated Portfolios

DOI10.1111/1468-0262.00448zbMath1154.91475OpenAlexW4249296690MaRDI QIDQ5472987

Robert J. Vanderbei, Ruszczyński, Andrzej

Publication date: 19 June 2006

Full work available at URL: https://doi.org/10.1111/1468-0262.00448

Mathematics Subject Classification ID

Related Items (31)

Time Consistency of the Mean-Risk Problem ⋮ Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems ⋮ A computationally stable solution algorithm for linear programs ⋮ Unnamed Item ⋮ Solving cardinality constrained mean-variance portfolio problems via MILP ⋮ Unnamed Item ⋮ Second-order stochastic dominance constrained portfolio optimization: theory and computational tests ⋮ Robustness in stochastic programs with risk constraints ⋮ Nonparametric comparative revealed risk aversion ⋮ Assessing the prediction uncertainty in a route optimization model for autonomous maritime logistics ⋮ Dotted Representations of Mean-Variance Efficient Frontiers and their Computation ⋮ A bi-criteria moving-target travelling salesman problem under uncertainty ⋮ Tractable almost stochastic dominance ⋮ A risk-averse newsvendor with law invariant coherent measures of risk ⋮ Risk-adjusted probability measures in portfolio optimization with coherent measures of risk ⋮ Risk Aversion in Two-Stage Stochastic Integer Programming ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Advancements in stochastic dominance efficiency tests ⋮ Two-stage portfolio optimization with higher-order conditional measures of risk ⋮ On exact and approximate stochastic dominance strategies for portfolio selection ⋮ Data envelopment analysis of mutual funds based on second-order stochastic dominance ⋮ A parametric simplex algorithm for linear vector optimization problems ⋮ Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements ⋮ Robustness in SSD portfolio efficiency testing ⋮ The \(p\)-folded cumulative distribution function and the mean absolute deviation from the \(p\)-quantile ⋮ Convexity and decomposition of mean-risk stochastic programs ⋮ Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming ⋮ Portfolio construction based on stochastic dominance and target return distributions ⋮ A linear risk-return model for enhanced indexation in portfolio optimization ⋮ Data-driven portfolio management with quantile constraints ⋮ Benson type algorithms for linear vector optimization and applications

This page was built for publication: Frontiers of Stochastically Nondominated Portfolios