Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
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Publication:741144
DOI10.1007/S00245-014-9236-6zbMATH Open1296.90082OpenAlexW2083996107MaRDI QIDQ741144FDOQ741144
Authors: Rudabeh Meskarian, Jörg Fliege, Huifu Xu 
Publication date: 10 September 2014
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/369666/2/Stochastic-Programming-with-Multivariate-Second-Order-Stochastic-Dominance-Constraints-with-Application-in-Portfolio-Optimization.pdf
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penalty methodportfolio optimizationsecond order dominancemultivariate stochastic dominanceSlater constraint qualificationlevel function method
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Cited In (17)
- Two-stage optimization problems with multivariate stochastic order constraints
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Sample average approximation of stochastic dominance constrained programs
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
- Title not available (Why is that?)
- 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
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
- Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints
- Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Optimization with multivariate stochastic dominance constraints
- A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures
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