Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization

DOI10.1007/S00245-014-9236-6MaRDI QIDQ741144zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

penalty methodportfolio optimizationsecond order dominancemultivariate stochastic dominanceSlater constraint qualificationlevel function method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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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
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
• scientific article; zbMATH DE number 7028738 (Why is no real title available?)
• 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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