Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization (Q421765)
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scientific article; zbMATH DE number 6035151
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| English | Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization |
scientific article; zbMATH DE number 6035151 |
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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization (English)
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14 May 2012
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stochastic programming
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portfolio optimization
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penalty methods
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second order dominance
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stochastic approximation
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0.85699063539505
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0.8546385169029236
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0.8322888612747192
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0.8258606195449829
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