Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization (Q421765): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6035151 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic programming | |||
| Property / zbMATH Keywords: stochastic programming / rank | |||
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portfolio optimization | |||
| Property / zbMATH Keywords: portfolio optimization / rank | |||
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penalty methods | |||
| Property / zbMATH Keywords: penalty methods / rank | |||
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second order dominance | |||
| Property / zbMATH Keywords: second order dominance / rank | |||
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stochastic approximation | |||
| Property / zbMATH Keywords: stochastic approximation / rank | |||
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Revision as of 20:50, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization |
scientific article |
Statements
Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization (English)
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14 May 2012
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stochastic programming
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portfolio optimization
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penalty methods
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second order dominance
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stochastic approximation
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