New Formulations for Optimization under Stochastic Dominance Constraints
From MaRDI portal
Publication:3395025
DOI10.1137/070707956zbMath1180.90215MaRDI QIDQ3395025
Publication date: 20 August 2009
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070707956
stochastic programming; integer programming; risk; stochastic dominance constraints; probabilistic constraints
Related Items
Stochastic Dominance Constraints in Elastic Shape Optimization, Optimization with Reference-Based Robust Preference Constraints, Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study, An enhanced model for portfolio choice with SSD criteria: a constructive approach, Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball, Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets, Multivariate robust second-order stochastic dominance and resulting risk-averse optimization, Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints, Optimal measure preserving derivatives revisited, Neurodynamics-driven portfolio optimization with targeted performance criteria, Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization, On relations between DEA-risk models and stochastic dominance efficiency tests, Cut generation for optimization problems with multivariate risk constraints, Implementing the simplex method as a cutting-plane method, with a view to regularization, Sample average approximation of stochastic dominance constrained programs, Tractable almost stochastic dominance, A simple SSD-efficiency test, Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization, Second-order stochastic dominance constrained portfolio optimization: theory and computational tests, Individual optimal pension allocation under stochastic dominance constraints, Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem, On exact and approximate stochastic dominance strategies for portfolio selection, Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements, Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs, Interval-based stochastic dominance: theoretical framework and application to portfolio choices, Multi-stage portfolio selection problem with dynamic stochastic dominance constraints, Pension fund management with investment certificates and stochastic dominance, Stochastically weighted stochastic dominance concepts with an application in capital budgeting, Risk aversion for an electricity retailer with second-order stochastic dominance constraints, Aspects of optimization with stochastic dominance, An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree, Alternate risk measures for emergency medical service system design, A general test for SSD portfolio efficiency, Scenario Min-Max Optimization and the Risk of Empirical Costs, Unnamed Item
Uses Software
