Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization (Q6132757)
From MaRDI portal
scientific article; zbMATH DE number 7712955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization |
scientific article; zbMATH DE number 7712955 |
Statements
Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization (English)
0 references
14 July 2023
0 references
stochastic programming
0 references
distributionally robust optimization
0 references
multivariate second-order stochastic dominance
0 references
Wasserstein metric
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
