Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization (Q741144): Difference between revisions

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English	Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization	scientific article

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instance of

scholarly article

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title

Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization (English)

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Applied Mathematics and Optimization

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publication date

10 September 2014

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full work available at URL

https://eprints.soton.ac.uk/369666/2/Stochastic-Programming-with-Multivariate-Second-Order-Stochastic-Dominance-Constraints-with-Application-in-Portfolio-Optimization.pdf

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zbMATH Keywords

multivariate stochastic dominance

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second order dominance

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Slater constraint qualification

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level function method

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penalty method

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portfolio optimization

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MaRDI profile type

MaRDI publication profile

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cites work

Optimization and nonsmooth analysis

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Optimization with Stochastic Dominance Constraints

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Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

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Q5325786

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Optimization with multivariate stochastic dominance constraints

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Processing second-order stochastic dominance models using cutting-plane representations

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Q5615833

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A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints

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DC programming: overview.

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Sample average approximation of stochastic dominance constrained programs

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The Cutting-Plane Method for Solving Convex Programs

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Integrated chance constraints: reduced forms and an algorithm

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New variants of bundle methods

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New Formulations for Optimization under Stochastic Dominance Constraints

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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization

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Q2778807

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From stochastic dominance to mean-risk models: Semideviations as risk measures

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An Application of Error Bounds for Convex Programming in a Linear Space

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Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods

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Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

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Level function method for quasiconvex programming.

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Identifiers

zbMATH Open document ID

1296.90082

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DOI

10.1007/s00245-014-9236-6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:741144

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-Huifu Xu
@@ Property / author: Huifu Xu / rank @@
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@@ Property / author: Huifu Xu / rank @@
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+MaRDI publication profile
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+Normal rank
@@ Property / cites work @@
+Optimization and nonsmooth analysis
@@ Property / cites work: Optimization and nonsmooth analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
+Normal rank
@@ Property / cites work @@
+Q5325786
@@ Property / cites work: Q5325786 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization with multivariate stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+Processing second-order stochastic dominance models using cutting-plane representations
+Normal rank
@@ Property / cites work @@
+Q5615833
@@ Property / cites work: Q5615833 / rank @@
+Normal rank
@@ Property / cites work @@
+A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+DC programming: overview.
@@ Property / cites work: DC programming: overview. / rank @@
+Normal rank
@@ Property / cites work @@
+Sample average approximation of stochastic dominance constrained programs
+Normal rank
@@ Property / cites work @@
+The Cutting-Plane Method for Solving Convex Programs
+Normal rank
@@ Property / cites work @@
+Integrated chance constraints: reduced forms and an algorithm
+Normal rank
@@ Property / cites work @@
+New variants of bundle methods
@@ Property / cites work: New variants of bundle methods / rank @@
+Normal rank
@@ Property / cites work @@
+New Formulations for Optimization under Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
+Normal rank
@@ Property / cites work @@
+Q2778807
@@ Property / cites work: Q2778807 / rank @@
+Normal rank
@@ Property / cites work @@
+From stochastic dominance to mean-risk models: Semideviations as risk measures
+Normal rank
@@ Property / cites work @@
+An Application of Error Bounds for Convex Programming in a Linear Space
+Normal rank
@@ Property / cites work @@
+Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
+Normal rank
@@ Property / cites work @@
+Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Level function method for quasiconvex programming.
+Normal rank