A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures

DOI10.3934/jimo.2018198zbMath1449.90273OpenAlexW2904643032WikidataQ128736487 ScholiaQ128736487MaRDI QIDQ2190257

Yanyan Li

Publication date: 18 June 2020

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018198

zbMATH Keywords

portfolio choice modellinear programming (LP)smoothing functionsample average approximation (SAA)second-order stochastic dominance (SSD)

Mathematics Subject Classification ID

Nonlinear programming (90C30) Linear programming (90C05) Stochastic programming (90C15) Portfolio theory (91G10)

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