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

DOI10.1080/02331934.2019.1589467zbMATH Open1427.49027OpenAlexW2922418166WikidataQ128180649 ScholiaQ128180649MaRDI QIDQ5239081FDOQ5239081

Authors: Zhiping Chen, Yu Mei, Jia Liu 

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

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zbMATH Keywords

stability analysismultivariate stochastic dominanceprobability discretizationrobust preferencesecond-order stochastic dominance constraint

Mathematics Subject Classification ID

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

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Cited In (6)

• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• 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
• Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric

Uses Software

• DDSIP

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