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; zbMATH DE number 6641434
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| English | SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization |
scientific article; zbMATH DE number 6641434 |
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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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0.8882768
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0.87175035
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0.8632636
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0.8571591
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0.8565068
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0.8542316
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0.85388374
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0.8526097
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