Optimal Financial Portfolios via Majorization: The Static Case
1st Festival for New Economic Thinking (INET), Edinburgh, UK
Posted: 19 Jul 2016 Last revised: 16 Apr 2018
Date Written: July 17, 2016
Abstract
We provide a novel methodology for constructing optimal portfolios of financial assets that goes beyond the standard Markowitz and CAPM settings. Under general second order stochastic dominance we point out how via majorization techniques the efficient frontier can be constructed. For the purpose we employ classical Lorenz curves and investigate their stability properties. The results provide direct industry applications.
Keywords: portfolio theory, CAPM, Lorenz Curve, majorization, dependence
JEL Classification: G14, G15
Suggested Citation: Suggested Citation
Yordanov, Vilimir, Optimal Financial Portfolios via Majorization: The Static Case (July 17, 2016). 1st Festival for New Economic Thinking (INET), Edinburgh, UK, Available at SSRN: https://ssrn.com/abstract=2810735
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