Multivariate robust second-order stochastic dominance and resulting risk-averse optimization

DOI10.1080/02331934.2019.1589467zbMath1427.49027OpenAlexW2922418166WikidataQ128180649 ScholiaQ128180649MaRDI QIDQ5239081

Jia Liu, Yu Mei, Zhiping Chen

Publication date: 21 October 2019

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2019.1589467

zbMATH Keywords

stability analysismultivariate stochastic dominanceprobability discretizationrobust preferencesecond-order stochastic dominance constraint

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization

Uses Software

• DDSIP

Cites Work

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