1차 확률적 지배를 하는 최대효용 포트폴리오 가중치의 탐색에 관한 연구
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 류춘호 | - |
dc.date.accessioned | 2021-11-25T04:43:06Z | - |
dc.date.available | 2021-11-25T04:43:06Z | - |
dc.date.created | 2021-11-23 | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 1225-1119 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/18718 | - |
dc.description.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. | - |
dc.language | 한국어 | - |
dc.language.iso | ko | - |
dc.publisher | 한국경영과학회 | - |
dc.title | 1차 확률적 지배를 하는 최대효용 포트폴리오 가중치의 탐색에 관한 연구 | - |
dc.title.alternative | Optimizing Portfolio Weights for the First Degree Stochastic Dominance with Maximum Utility | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 류춘호 | - |
dc.identifier.doi | 10.7737/JKORMS.2014.39.1.113 | - |
dc.identifier.bibliographicCitation | 한국경영과학회지, v.39, no.1, pp.113 - 127 | - |
dc.relation.isPartOf | 한국경영과학회지 | - |
dc.citation.title | 한국경영과학회지 | - |
dc.citation.volume | 39 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 113 | - |
dc.citation.endPage | 127 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001865321 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | The First-Order Stochastic Dominance | - |
dc.subject.keywordAuthor | Portfolio Weights | - |
dc.subject.keywordAuthor | Mean-Variance | - |
dc.subject.keywordAuthor | Utility Function | - |
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