A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures (Q2190257)
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scientific article; zbMATH DE number 7213078
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| English | A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures |
scientific article; zbMATH DE number 7213078 |
Statements
A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures (English)
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18 June 2020
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portfolio choice model
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second-order stochastic dominance (SSD)
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sample average approximation (SAA)
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linear programming (LP)
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smoothing function
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0.8424330353736877
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0.8158965110778809
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0.8010621666908264
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0.783149242401123
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0.7826173305511475
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