Article ID: | iaor2004547 |
Country: | Netherlands |
Volume: | 34 |
Issue: | 9/11 |
Start Page Number: | 1037 |
End Page Number: | 1072 |
Publication Date: | Nov 2001 |
Journal: | Mathematical and Computer Modelling |
Authors: | Rachev S.T., Ortobelli S.L. |
Keywords: | risk, optimization |
In this paper, we present some characterizations of efficient sets using the stochastic dominance rules and comparing the safety-first approach with the stable Paretian analysis. We introduce a new stable Paretian version of the Markowitz financial optimization model in order to find an optimal frontier based on a more realistic model for the distribution of asset returns. As a generalization of moments analysis, we consider a portfolio selection for an investor who wishes to allocate his initial wealth across