Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization

DOI10.1016/j.ejor.2011.07.044zbMath1242.90146OpenAlexW2011091913MaRDI QIDQ421765

Jörg Fliege, Huifu Xu, Rudabeh Meskarian

Publication date: 14 May 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.07.044

zbMATH Keywords

stochastic programmingstochastic approximationportfolio optimizationpenalty methodssecond order dominance

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (17)

On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ Standard stochastic dominance ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ On relations between chance constrained and penalty function problems under discrete distributions ⋮ Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints ⋮ A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures ⋮ An incremental bundle method for portfolio selection problem under second-order stochastic dominance ⋮ Stability analysis of stochastic programs with second order dominance constraints ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Exact penalization in stochastic programming -- calmness and constraint qualification ⋮ Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization ⋮ A SMOOTHING PENALIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC PROGRAMS WITH SECOND-ORDER STOCHASTIC DOMINANCE CONSTRAINTS

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