The aim of this paper is to construct a portfolio of eight different stocks from New York Stock Exchange market (AIR, ABM, TSCO, HLX, KO, DIS, AMZN, and VZ) using stochastic programming. The next stage (period) prices are generated using a stochastic difference equation in order to introduce uncertainty. For the portfolio selection, we use three different risk measures -“ min-“max decision rule, value-at-risk, and conditional value-at-risk. After constructing three different portfolios, they are compared using well-known efficiency ratios -“ Sharpe, Sortino, and Rachev ratios.
