SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
DOI10.1007/S00186-016-0537-1zbMATH Open1414.91334OpenAlexW2320451501MaRDI QIDQ328526FDOQ328526
Dan Li, Xue-Fei Ma, Shuang Chen, Li-Ping Pang
Publication date: 20 October 2016
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-016-0537-1
portfolio optimizationstochastic programmingconic programmingstochastic variational inequality problem
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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Uses Software
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