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

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Cited in

(24)

Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints
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A review on ambiguity in stochastic portfolio optimization
Higher-degree stochastic dominance optimality and efficiency
Multi-stage portfolio selection problem with dynamic 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
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Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
Exact penalization, level function method, and modified cutting-plane method for stochastic programs with second order stochastic dominance constraints
Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
The sparse portfolio optimization with stochastic dominance and background risk and the slqpso algorithm
Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization

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