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1차 확률적 지배를 하는 최대효용 포트폴리오 가중치의 탐색에 관한 연구Optimizing Portfolio Weights for the First Degree Stochastic Dominance with Maximum Utility
- Other Titles
- Optimizing Portfolio Weights for the First Degree Stochastic Dominance with Maximum Utility
- Authors
- 류춘호
- Issue Date
- 2014
- Publisher
- 한국경영과학회
- Keywords
- The First-Order Stochastic Dominance; Portfolio Weights; Mean-Variance; Utility Function
- Citation
- 한국경영과학회지, v.39, no.1, pp.113 - 127
- Journal Title
- 한국경영과학회지
- Volume
- 39
- Number
- 1
- Start Page
- 113
- End Page
- 127
- ISSN
- 1225-1119
- Abstract
- The stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmarkportfolio such as KOSPI. This study is to search a set of portfolio weights for the first-order stochastic dominancewith maximum utility defined in terms of mean and variance by managing the constraint set and the objective functionin an iterative manner. A nonlinear programming algorithm was developed and tested with promising results againstKorean stock market data sets.
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Related Researcher
- Ryu, Choonho
- Business Administration (Business Administration)