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Quantitative Finance Volume 11, 2011 - Issue 10: Themed Issue on Asset Allocation
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Research Papers

An enhanced model for portfolio choice with SSD criteria: a constructive approach

Csaba I. Fábián Institute of Informatics, Kecskemét College, 10 Izsáki út, 6000 Kecskemét, Hungary; Department of OR, Loránd Eötvös University, Budapest, Hungary
,
Gautam Mitra CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, School of Information Systems, Computing and Mathematics, Brunel University, Uxbridge UB8 3PU, West London, UK
,
Diana Roman CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, School of Information Systems, Computing and Mathematics, Brunel University, Uxbridge UB8 3PU, West London, UKCorrespondence[email protected]
&
Victor Zverovich CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, School of Information Systems, Computing and Mathematics, Brunel University, Uxbridge UB8 3PU, West London, UK
Pages 1525-1534 | Received 20 Feb 2009, Accepted 13 Nov 2009, Published online: 11 May 2010

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Ephraim Clark, Nitin Deshmukh, Celal Barkan Güran & Konstantino Kassimatis. (2019) Index tracking with utility enhanced weighting. Quantitative Finance 19:11, pages 1893-1904.
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Seyoung Park, Hyunson Song & Sungchul Lee. (2019) Linear programing models for portfolio optimization using a benchmark. The European Journal of Finance 25:5, pages 435-457.
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Maria Teresa Vespucci, Marida Bertocchi, Paolo Pisciella & Stefano Zigrino. (2016) Two-stage stochastic mixed integer optimization models for power generation capacity expansion with risk measures. Optimization Methods and Software 31:2, pages 305-327.
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Zhidong Bai, Hua Li, Michael McAleer & Wing-Keung Wong. (2015) Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. Quantitative Finance 15:5, pages 889-900.
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H Mezali & J E Beasley. (2013) Quantile regression for index tracking and enhanced indexation. Journal of the Operational Research Society 64:11, pages 1676-1692.
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Articles from other publishers (30)

Zhao-Rong Lai & Haisheng Yang. (2022) A Survey on Gaps between Mean-Variance Approach and Exponential Growth Rate Approach for Portfolio Optimization. ACM Computing Surveys 55:2, pages 1-36.
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Matteo Malavasi, Sergio Ortobelli Lozza & Stefan Trück. (2021) Second order of stochastic dominance efficiency vs mean variance efficiency. European Journal of Operational Research 290:3, pages 1192-1206.
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Francesco Cesarone, Fabiomassimo Mango & Gabriele Sabato. (2020) Z-score vs minimum variance preselection methods for constructing small portfolios. Investment Management and Financial Innovations 17:1, pages 64-76.
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Seyoung Park, Eun Ryung Lee, Sungchul Lee & Geonwoo Kim. (2019) Dantzig Type Optimization Method with Applications to Portfolio Selection. Sustainability 11:11, pages 3216.
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Maram Alwohaibi & Diana Roman. (2018) ALM models based on second order stochastic dominance. Computational Management Science 15:2, pages 187-211.
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Umut Ugurlu, Oktay Tas, Celal Barkan Guran & Aysun Guran. (2018) SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries. Prague Economic Papers 27:2, pages 169-195.
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Neslihan Fidan Keçeci & Yonca Erdem Demirtaş. (2018) Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock IndicesRisk-Tabanlı VZA ve Stokastik Baskınlık Kriteri ile OECD Üyelerinin Hisse Senedi Endekslerinin Etkinliği. Alphanumeric Journal 6:1, pages 25-36.
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Sergio Conti, Martin Rumpf, Rüdiger Schultz & Sascha Tölkes. (2018) Stochastic Dominance Constraints in Elastic Shape Optimization. SIAM Journal on Control and Optimization 56:4, pages 3021-3034.
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Renato Bruni, Francesco Cesarone, Andrea Scozzari & Fabio Tardella. (2017) On exact and approximate stochastic dominance strategies for portfolio selection. European Journal of Operational Research 259:1, pages 322-329.
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Cristiano Arbex Valle, Diana Roman & Gautam Mitra. (2017) Novel approaches for portfolio construction using second order stochastic dominance. Computational Management Science 14:2, pages 257-280.
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Oktay Tas, Kaya Tokmakcioglu, Umut Ugurlu & Murat Isiker. (2016) Comparison of ethical and conventional portfolios with second-order stochastic dominance efficiency test. International Journal of Islamic and Middle Eastern Finance and Management 9:4, pages 492-511.
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Neslihan Fidan Keçeci, Viktor Kuzmenko & Stan Uryasev. (2016) Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios. Journal of Risk and Financial Management 9:4, pages 11.
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Reshma Khemchandani, Avikant Bhardwaj & Suresh Chandra. (2014) Single asset optimal trading strategies with stochastic dominance constraints. Annals of Operations Research 243:1-2, pages 211-228.
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Laureano F. Escudero, María Araceli Garín, María Merino & Gloria Pérez. (2016) On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs. European Journal of Operational Research 249:1, pages 164-176.
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Neslihan Fidan Keçeci, Viktor Kuzmenko & Stan Uryasev. 2016. Robustness Analysis in Decision Aiding, Optimization, and Analytics. Robustness Analysis in Decision Aiding, Optimization, and Analytics 285 298 .
Csaba I. Fábián, Krisztián Eretnek & Olga Papp. (2014) A regularized simplex method. Central European Journal of Operations Research 23:4, pages 877-898.
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Renato Bruni, Francesco Cesarone, Andrea Scozzari & Fabio Tardella. (2014) A linear risk-return model for enhanced indexation in portfolio optimization. OR Spectrum 37:3, pages 735-759.
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Marida Bertocchi, Rosella Giacometti & Maria Teresa Vespucci. 2015. Quantitative Financial Risk Management. Quantitative Financial Risk Management 126 151 .
Maciej Rysz, Alexander Vinel, Pavlo Krokhmal & Eduardo L. Pasiliao. (2015) A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures. INFORMS Journal on Computing 27:2, pages 416-430.
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M. Claus & R. Schultz. (2015) Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints. SIAM Journal on Optimization 25:1, pages 396-415.
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Csaba I. Fábián, Christian Wolf, Achim Koberstein & Leena Suhl. (2015) Risk-Averse Optimization in Two-Stage Stochastic Models: Computational Aspects and a Study. SIAM Journal on Optimization 25:1, pages 28-52.
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Nilay Noyan & Gábor Rudolf. (2013) Optimization with Multivariate Conditional Value-at-Risk Constraints. Operations Research 61:4, pages 990-1013.
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Diana Roman, Gautam Mitra & Victor Zverovich. (2013) Enhanced indexation based on second-order stochastic dominance. European Journal of Operational Research 228:1, pages 273-281.
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Maria Teresa Vespucci, Marida Bertocchi, Stefano Zigrino & Laureano F. Escudero. (2013) Stochastic optimization models for power generation capacity expansion with risk management. Stochastic optimization models for power generation capacity expansion with risk management.
Blanca Pérez-Gladish, Paz Méndez Rodríguez, Bouchra M'zali & Pascal Lang. (2013) Mutual Funds Efficiency Measurement under Financial and Social Responsibility Criteria. Journal of Multi-Criteria Decision Analysis 20:3-4, pages 109-125.
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Marida Bertocchi, Maria Teresa Vespucci & Stefano Zigrino. (2012) Risk Averse Two-Stage Stochastic Optimization Model for the Electric Power Generation Capacity Expansion Problem. Risk Averse Two-Stage Stochastic Optimization Model for the Electric Power Generation Capacity Expansion Problem.
Csaba I. Fábián, Gautam Mitra, Diana Roman, Victor Zverovich, Tibor Vajnai, Edit Csizmás & Olga Papp. 2011. Stochastic Optimization Methods in Finance and Energy. Stochastic Optimization Methods in Finance and Energy 441 469 .
Maziar Sahamkhadam & Andreas Stephan. (2022) Socially Responsible Multiobjective Optimal Portfolios. SSRN Electronic Journal.
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Ephraim Clark, Barkan Guran & Konstantinos Kassimatis. (2016) Index Tracking with Utility Enhanced Weighting. SSRN Electronic Journal.
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Renato Bruni, Francesco Cesarone, Andrea Scozzari & Fabio Tardella. (2013) A Linear Risk-Return Model for Enhanced Indexation. SSRN Electronic Journal.
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