Date of Award
8-2009
Document Type
Thesis
Degree Name
Master of Science (MS)
Legacy Department
Mathematical Science
Committee Chair/Advisor
Wiecek, Margaret M
Committee Member
Brannan , James R
Committee Member
Fadel , Georges M
Abstract
The purpose of this research is the investigation of a portfolio problem in an uncertain environment. Given possible investments with random performance depending on uncertain environmental settings the objective is to establish a methodology for construction of a portfolio which is non-dominated with respect to second order stochastic dominance and whose return distribution is preferable for a least risk decision maker.
Recommended Citation
Nowak, Dimitri, "Portfolio Selection Problem under Uncertainty and Risk" (2009). All Theses. 658.
https://tigerprints.clemson.edu/all_theses/658