Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
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Publication:2244232
DOI10.3934/JIMO.2019071zbMATH Open1476.91163OpenAlexW2963082631MaRDI QIDQ2244232FDOQ2244232
Authors: Meng Xue, Y. Shi, Hailin Sun 
Publication date: 12 November 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019071
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Cited In (7)
- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
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- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Portfolio optimization based on stochastic dominance and empirical likelihood
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
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