SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization (Q328526)
From MaRDI portal
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 |
Statements
SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization (English)
0 references
20 October 2016
0 references
stochastic variational inequality problem
0 references
stochastic programming
0 references
conic programming
0 references
portfolio optimization
0 references
0 references
0 references
0 references
