An enhanced model for portfolio choice with SSD criteria: a constructive approach
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Cites work
- A Practical Geometrically Convergent Cutting Plane Algorithm
- A regularized decomposition method for minimizing a sum of polyhedral functions
- Coherent measures of risk
- Computational aspects of minimizing conditional value-at-risk
- Convex measures of risk and trading constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- Generalized deviations in risk analysis
- Integrated chance constraints: reduced forms and an algorithm
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- New Formulations for Optimization under Stochastic Dominance Constraints
- New variants of bundle methods
- Optimization of Convex Risk Functions
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Optimization with Stochastic Dominance Constraints
- Portfolio construction based on stochastic dominance and target return distributions
- Solving two-stage stochastic programming problems with level decomposition
Cited in
(27)- ALM models based on second order stochastic dominance
- On exact and approximate stochastic dominance strategies for portfolio selection
- Novel approaches for portfolio construction using second order stochastic dominance
- Second order of stochastic dominance efficiency vs mean variance efficiency
- Incomplete risk-preference information in portfolio decision analysis
- 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
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- A linear risk-return model for enhanced indexation in portfolio optimization
- Enhanced indexation based on second-order stochastic dominance
- Two-stage stochastic mixed integer optimization models for power generation capacity expansion with risk measures
- A regularized simplex method
- Portfolio model of risk management with second order stochastic dominant constraints and transaction costs
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Single asset optimal trading strategies with stochastic dominance constraints
- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
- Stochastic dominance constraints in elastic shape optimization
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
- Index tracking with utility enhanced weighting
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- Portfolio selection based on extended Gini shortfall risk measures
- Processing second-order stochastic dominance models using cutting-plane representations
- Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
- A smoothing algorithm for two-stage portfolio model with second-order stochastic dominance constraints
- An extension of an interior-point method to include risk aversion in large-scale multistage stochastic optimization
- Enhanced indexation using both equity assets and index options
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