Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
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Cites work
- A General Definition of the Lorenz Curve
- A note on stochastic dominance and inequality measures
- Computational aspects of minimizing conditional value-at-risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- Integrated chance constraints: reduced forms and an algorithm
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Stochastic Dominance Constraints
- The Dual Theory of Choice under Risk
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- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- A general test for SSD portfolio efficiency
- Optimization with multivariate stochastic dominance constraints
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Cut generation for optimization problems with multivariate risk constraints
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- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
- Stochastic dominance constraints in elastic shape optimization
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