SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization (Q328526)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization |
scientific article |
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SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization (English)
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20 October 2016
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stochastic variational inequality problem
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stochastic programming
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conic programming
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portfolio optimization
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