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1차 확률적 지배를 하는 포트폴리오 가중치의 탐색에 관한 연구An Algorithm to Optimize Portfolio Weights for the First Degree Stochastic Dominance
- Other Titles
- An Algorithm to Optimize Portfolio Weights for the First Degree Stochastic Dominance
- Authors
- 류춘호
- Issue Date
- 2003
- Publisher
- 한국경영과학회
- Keywords
- Stochastic Dominance; Portfolio Selection; Nonlinear Programming
- Citation
- 한국경영과학회지, v.28, no.1, pp.25 - 37
- Journal Title
- 한국경영과학회지
- Volume
- 28
- Number
- 1
- Start Page
- 25
- End Page
- 37
- ISSN
- 1225-1119
- Abstract
- Unlike the mean-variance approach, the stochastic dominance approach is to form a portfolio that first-degree stochastically dominates a predetermined benchmark portfolio, e.g. KOSPI. Analytically defining the first derivative of the objective function, an optimal algorithm of nonlinear programming was developed to search a set of optimal weights systematically and tested with promising results against real data sets from Korean stock market.
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Related Researcher
- Ryu, Choonho
- Business Administration (Business Administration)