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

The Korean Operations Research and Management Science Society (한국경영과학회)
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An Algorithm to Optimize Portfolio Weights for the First Degree Stochastic Dominance

1차 확률적 지배를 하는 포트폴리오 가중치의 탐색에 관한 연구

  • Published : 2003.03.01
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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

References

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