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arXiv · 2306.06245

Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods

Vladimir Norkin·Alois Pichler
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Abstract

The paper addresses general constrained and non-linear optimization problems. For some of these notoriously hard problems, there exists a reformulation as an unconstrained, global optimization problem. We illustrate the transformation, and the performance of the reformulation for a non-linear problem in stochastic optimization. The problem is adapted from portfolio optimization with first order stochastic dominance constraints.

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Vladimir Norkin, Alois Pichler. 2023-06-09. Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods. https://arxiv.org/abs/2306.06245

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