Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Optimizing Portfolio Weights for the First Degree Stochastic Dominance with Maximum Utility

1차 확률적 지배를 하는 최대효용 포트폴리오 가중치의 탐색에 관한 연구

  • Ryu, Choonho (Department of Business Administration, Hongik University)
  • Received : 2013.12.31
  • Accepted : 2014.02.03
  • Published : 2014.03.31
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Abstract

The stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmark portfolio such as KOSPI. This study is to search a set of portfolio weights for the first-order stochastic dominance with maximum utility defined in terms of mean and variance by managing the constraint set and the objective function in an iterative manner. A nonlinear programming algorithm was developed and tested with promising results against Korean stock market data sets.

Keywords

References

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