Monte Carlo methods for mean-risk optimization and portfolio selection (Q373169): Difference between revisions

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+Coherent Measures of Risk
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+Risk sensitive asset management with transaction costs
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+Convergence properties of two-stage stochastic programming
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+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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+Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
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+Necessary Optimality Conditions for Two-Stage Stochastic Programs with Equilibrium Constraints
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+Constraint Qualifications and Necessary Optimality Conditions for Optimization Problems with Variational Inequality Constraints
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