Sparse spanning portfolios and under-diversification with second-order stochastic dominance
S Arvanitis, O Scaillet, N Topaloglou - arXiv preprint arXiv:2402.01951, 2024 - arxiv.org
We develop and implement methods for determining whether relaxing sparsity constraints
on portfolios improves the investment opportunity set for risk-averse investors. We formulate …
on portfolios improves the investment opportunity set for risk-averse investors. We formulate …
[PDF][PDF] Department of Economics Athens University of Economics and Business
S Arvanitis - 2023 - researchgate.net
We develop and implement methods for determining whether relaxing sparsity constraints
on portfolios improves the investment opportunity set for risk-averse investors. We formulate …
on portfolios improves the investment opportunity set for risk-averse investors. We formulate …