Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints

DOI10.3390/a10030100zbMath1461.91287OpenAlexW2745485746MaRDI QIDQ1657073

Ziqiang Yang, Siling Feng, Tao Ye

Publication date: 13 August 2018

Published in: Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/a10030100

zbMATH Keywords

portfolio optimizationsecond order stochastic dominancebiogeography-based optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization

Cites Work

• Unnamed Item
• Unnamed Item
• Enhanced indexation based on second-order stochastic dominance
• 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
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Correcting expected utility for comparisons between alternative outcomes: A unified parameterization of regret and disappointment
• 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
• Optimization with Stochastic Dominance Constraints

This page was built for publication: Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints