Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
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Cites work
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- scientific article; zbMATH DE number 2208228 (Why is no real title available?)
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Cited in
(6)- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- Robust stochastic dominance and its application to risk-averse optimization
- Optimization with multivariate stochastic dominance constraints
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
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