---
title: Stochastic Portfolio Optimization
url: https://www.ml-quant.com/papers/repec/taf-reroxx-v-36-y-2023-i-3-p-2165525/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:taf:reroxx:v:36:y:2023:i:3:p:2165525
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1331677X.2023.2165525%3Bh%3Drepec%3Ataf%3Areroxx%3Av%3A36%3Ay%3A2023%3Ai%3A3%3Ap%3A2165525
featured: 2024-05-08
citations: unknown
topic: Portfolio & Allocation
---


# Stochastic Portfolio Optimization

The article presents a new method for creating robust portfolios using the Chance Constrained Data Envelopment Analysis model, which minimizes systematic risk and maximizes returns during market downturns, especially for risk-averse investors.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F1331677X.2023.2165525%3Bh%3Drepec%3Ataf%3Areroxx%3Av%3A36%3Ay%3A2023%3Ai%3A3%3Ap%3A2165525
- Identifier: RePEc:taf:reroxx:v:36:y:2023:i:3:p:2165525
- Released: 2023-05-03
- First featured: Quant Letter No. 48 (2024-05-08): https://www.ml-quant.com/issues/2024-05-08/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

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