Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
From MaRDI portal
Publication:741144
DOI10.1007/s00245-014-9236-6zbMath1296.90082MaRDI QIDQ741144
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
portfolio optimization; penalty method; multivariate stochastic dominance; second order dominance; Slater constraint qualification; level function method
Related Items
Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse, Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization, A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures, Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints, Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
- Sample average approximation of stochastic dominance constrained programs
- Processing second-order stochastic dominance models using cutting-plane representations
- Integrated chance constraints: reduced forms and an algorithm
- Optimization with multivariate stochastic dominance constraints
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- New variants of bundle methods
- DC programming: overview.
- The Cutting-Plane Method for Solving Convex Programs
- Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
- New Formulations for Optimization under Stochastic Dominance Constraints
- A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
- An Application of Error Bounds for Convex Programming in a Linear Space
- Optimization with Stochastic Dominance Constraints
- Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
- Level function method for quasiconvex programming.
