Stochastic Bounds for Reference Sets in Portfolio Analysis
Arvanitis S. Post T. Topaloglou N.
December 2021INFORMS Inst.for Operations Res.and the Management Sciences
Management Science
2021#67Issue 127737 - 7754 pp.
A stochastic bound is a portfolio that stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio that comes as close as possible to this ideal. To identify and analyze exact or approximate bounds, feasible approaches to numerical optimization and statistical inference are developed based on linear programming and subsampling. The use of reference sets and stochastic bounds is shown to improve investment performance in representative applications to enhanced benchmarking using equity industry rotation and equity index options combinations.
Enhanced benchmarking , Linear programming , Portfolio analysis , Stochastic dominance , Subsampling
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Department of Economics, Athens University of Economics and Business, Athens, 10434, Greece
Graduate School of Business, Nazarbayev University, National Analytical Center Analytica, Astana, 010000, Kazakhstan
Institut de Préparationa lAdministration eta la Gestion (IPAG), Business School and Department of International and European Economic Studies, Athens University of Economics and Business, Athens, 10434, Greece
Department of Economics
Graduate School of Business
Institut de Préparationa lAdministration eta la Gestion (IPAG)
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