Processing second-order stochastic dominance models using cutting-plane representations

DOI10.1007/s10107-009-0326-1zbMath1229.90108MaRDI QIDQ647395

Gautam Mitra, Diana Roman, Csaba I. Fábián

Publication date: 23 November 2011

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7479

zbMATH Keywords

cutting plane; portfolio selection; second-order stochastic dominance; integrated chance constraint; multi-objective formulation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

90C25: Convex programming

90C15: Stochastic programming

91G10: Portfolio theory

Uses Software

• AMPL