MCDM'08 - paper no. 11
The use of the reference MCDM methods to define the second stochastic dominance effective portfolios
Olena Sobotka
Abstract:
The paper is devoted to the application of stochastic dominance rules to portfolio selection problem with diversification possibilities. The approach based on multi-criteria decision making methodology, proposed by W. Ogryczak, is considered. The paper describes the application of the reference methods to define the set of the SSD effective portfolios and to choose the portfolio according to the general model of preference under risk.
Keywords:
Second stochastic dominance, effective portfolios, compromise programming, bi-reference procedure of multi-criteria optimization
Reference index:
Olena Sobotka, (2009), The use of the reference MCDM methods to define the second stochastic dominance effective portfolios, Multiple Criteria Decision Making (4), pp. 203-214
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