1차 확률적 지배를 하는 최대효용 포트폴리오 가중치의 탐색에 관한 연구

초록

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

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