Processing second-order stochastic dominance models using cutting-plane representations
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Publication:647395
DOI10.1007/s10107-009-0326-1zbMath1229.90108MaRDI QIDQ647395
Gautam Mitra, Diana Roman, Csaba I. Fábián
Publication date: 23 November 2011
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7479
cutting plane; portfolio selection; second-order stochastic dominance; integrated chance constraint; multi-objective formulation
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
90C25: Convex programming
90C15: Stochastic programming
91G10: Portfolio theory
Uses Software