A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints
用一系列混合整数线性约束刻画了所有二阶随机占优有效投资组合的集合，允许在有效集中自由选择目标函数进行优化，对金融投资组合选择研究有参考价值。
In this paper, the set of all second-order stochastic dominance (SSD)-efficient portfolios is characterized by using a series of mixed-integer linear constraints. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of binary variables. This result opens the door to the formulation of optimizations whose objective function is free to select a particular portfolio out of the entire SSD-efficient set. This paper was accepted by Jerome Detemple, finance.