An incremental bundle method for portfolio selection problem under second-order stochastic dominance
From MaRDI portal
Publication:2200800
DOI10.1007/s11075-019-00831-6zbMath1461.91281OpenAlexW2995312898WikidataQ126576881 ScholiaQ126576881MaRDI QIDQ2200800
Jian Lv, Li-Ping Pang, Ze-Hao Xiao
Publication date: 22 September 2020
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-019-00831-6
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
- Sample average approximation of stochastic dominance constrained programs
- Solving semi-infinite programs by smoothing projected gradient method
- Processing second-order stochastic dominance models using cutting-plane representations
- A bundle-filter method for nonsmooth convex constrained optimization
- A bundle method for solving equilibrium problems
- Optimization with multivariate stochastic dominance constraints
- Incremental-like bundle methods with application to energy planning
- Semi-infinite programming and applications to minimax problems
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Special backtracking proximal bundle method for nonconvex maximum eigenvalue optimization
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- New variants of bundle methods
- A new efficient algorithm based on DC programming and DCA for clustering
- Portfolio construction based on stochastic dominance and target return distributions
- A general test for SSD portfolio efficiency
- Incremental Subgradient Methods for Nondifferentiable Optimization
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS
- Inexact Bundle Methods for Two-Stage Stochastic Programming
- Constrained Bundle Methods for Upper Inexact Oracles with Application to Joint Chance Constrained Energy Problems
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- A Method of Centers with Approximate Subgradient Linearizations for Nonsmooth Convex Optimization
- A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
- Lectures on Stochastic Programming
- Stochastic global optimization methods part II: Multi level methods
- Variational Analysis
- Optimization with Stochastic Dominance Constraints
- A Spectral Bundle Method for Semidefinite Programming
- A Bundle Method for Solving Variational Inequalities
- Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
- Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
- An Infeasible Bundle Method for Nonsmooth Convex Constrained Optimization without a Penalty Function or a Filter
- An Incremental Method for Solving Convex Finite Min-Max Problems
- A Bundle Method for a Class of Bilevel Nonsmooth Convex Minimization Problems
- A Proximal Bundle Method with Approximate Subgradient Linearizations
- Convex Analysis
- On consistency of stochastic dominance and mean-semideviation models
- A proximal bundle method for nonsmooth nonconvex functions with inexact information
