Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints (Q3577834)
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scientific article; zbMATH DE number 5760807
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| English | Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints |
scientific article; zbMATH DE number 5760807 |
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Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints (English)
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26 July 2010
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stochastic dominance
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cutting plane methods
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Lorenz curve
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portfolio optimization
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conditional value-at-risk
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0.895924985408783
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0.8842769861221313
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0.8374406099319458
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