Second-order stochastic dominance constrained portfolio optimization: theory and computational tests

DOI10.1016/j.ejor.2017.06.067zbMath1376.91149OpenAlexW2728858430MaRDI QIDQ1681525

Markku Kallio, Nasim Dehghan Hardoroudi

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.06.067

zbMATH Keywords

stochastic programmingportfolio optimizationexpected utilitysecond-order stochastic dominancemean-risk model

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Stochastic programming (90C15) Portfolio theory (91G10)

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