Econometrica Vol. 71 No. 4 2003
Frontiers of Stochastically Nondominated Portfolios
open access
Abstract
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution.We propose mean-risk models that are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean-risk efficient frontiers of these models and we illustrate its operation on a large data set involving thousands of assets and realizations.
- DOI
- 10.1111/1468-0262.t01-1-00448
- Volume
- 71
- Issue
- 4
- Pages
- 1287-1297
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref