Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization (Q741144)
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scientific article; zbMATH DE number 6342449
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| English | Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization |
scientific article; zbMATH DE number 6342449 |
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Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization (English)
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10 September 2014
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multivariate stochastic dominance
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second order dominance
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Slater constraint qualification
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level function method
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penalty method
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portfolio optimization
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0.8690212965011597
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0.8558173775672913
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0.8546385169029236
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0.8530075550079346
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