Multistage portfolio optimization with multivariate dominance constraints

DOI10.1007/S10287-018-0334-9OpenAlexW2888567326WikidataQ129362065 ScholiaQ129362065MaRDI QIDQ1722747

Barbora Petrová

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0334-9

zbMATH Keywords

multivariate stochastic dominancestochastic dominance constraintsmultistage portfolio optimization problem

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

Multi-stage portfolio selection problem with dynamic stochastic dominance constraints

Cites Work

• Enhanced indexation based on second-order stochastic dominance
• Optimization with multivariate stochastic dominance constraints
• Individual optimal pension allocation under stochastic dominance constraints
• On exact and approximate stochastic dominance strategies for portfolio selection
• General linear formulations of stochastic dominance criteria
• Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints
• Multivariate stochastic dominance for risk averters and risk seekers
• Multistage Stochastic Optimization
• Optimization with Multivariate Stochastic Dominance Constraints
• Lectures on Stochastic Programming
• Multi-Period Stochastic Dominance
• Efficiency Analysis for Multivariate Distributions
• Stochastic Dominance

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