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An Algorithm to Optimize Portfolio Weights for the First Degree Stochastic Dominance  

류춘호 (홍익대학교 경영학부)
Publication Information
Journal of the Korean Operations Research and Management Science Society / v.28, no.1, 2003 , pp. 25-36 More about this Journal
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 veal data sets from Korean stock market.
Keywords
Stochastic Dominance; portfolio Selection; Nonilinear Proramming;
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