Robust stochastic dominance and its application to risk-averse optimization
From MaRDI portal
Publication:849327
DOI10.1007/S10107-009-0321-6zbMATH Open1216.90064OpenAlexW2085976800WikidataQ93623505 ScholiaQ93623505MaRDI QIDQ849327FDOQ849327
Authors: Darinka Dentcheva, Andrzej Ruszczyński 
Publication date: 25 February 2010
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-009-0321-6
Recommendations
- Optimization with multivariate stochastic dominance constraints
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Optimization with Stochastic Dominance Constraints
- Optimization with multivariate stochastic dominance constraints
- scientific article; zbMATH DE number 1968248
stochastic ordersemi-infinite optimizationstochastic dominance constraintsrisk constraintsrobust preferences
Optimality conditions and duality in mathematical programming (90C46) Inequalities; stochastic orderings (60E15) Stochastic programming (90C15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Programming in abstract spaces (90C48)
Cites Work
- Coherent measures of risk
- On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
- Title not available (Why is that?)
- Real Analysis and Probability
- Comparison methods for stochastic models and risks
- Maxmin expected utility with non-unique prior
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Optimization with Stochastic Dominance Constraints
- Title not available (Why is that?)
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Convex measures of risk and trading constraints
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- Title not available (Why is that?)
- Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
- Title not available (Why is that?)
- Convex functions, monotone operators and differentiability
- Optimality conditions in mathematical programming and composite optimization
- Ordered Families of Distributions
- Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
- Optimization of Convex Risk Functions
- Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
- Optimization with multivariate stochastic dominance constraints
- Title not available (Why is that?)
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Metric regularity of semi-infinite constraint systems
- Composite semi-infinite optimization
- Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
- Stochastic ordering and dependence in applied probability
- Optimization models with probabilistic constraints
- Title not available (Why is that?)
- Second-order global optimality conditions for convex composite optimization
- Stochastic dominance for sequences and implied utility in dynamic optimization
- Perturbed Optimization in Banach Spaces III: Semi-Infinite Optimization
- A generalized mean-value theorem and optimality conditions in composite nonsmooth minimization
Cited In (34)
- Primal-dual algorithms for optimization with stochastic dominance
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- New Formulations for Optimization under Stochastic Dominance Constraints
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- Individual optimal pension allocation under stochastic dominance constraints
- Robust stochastic maximum principle for multi-model worst case optimization
- On risk management of a two-stage stochastic mixed 0-1 model for the closed-loop supply chain design problem
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- Optimization with a class of multivariate integral stochastic order constraints
- Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
- Recent advances in robust optimization: an overview
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Ambiguity in risk preferences in robust stochastic optimization
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Stochastic dominance tests
- Joint model of probabilistic-robust (probust) constraints applied to gas network optimization
- Optimal privatization portfolios in the presence of arbitrary risk aversion
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- Robustness in stochastic programs with risk constraints
- Optimization with reference-based robust preference constraints
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Robust mean variance optimization problem under Rényi divergence information
- Portfolio diversification based on stochastic dominance under incomplete probability information
- General linear formulations of stochastic dominance criteria
- Lipschitzian properties and stability of a class of first-order stochastic dominance constraints
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
- Frameworks and results in distributionally robust optimization
Uses Software
This page was built for publication: Robust stochastic dominance and its application to risk-averse optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q849327)
