SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization

DOI10.1007/s00186-016-0537-1zbMath1414.91334OpenAlexW2320451501MaRDI QIDQ328526

Dan Li, Xue-Fei Ma, Shuang Chen, Li-Ping Pang

Publication date: 20 October 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0537-1

zbMATH Keywords

stochastic programmingportfolio optimizationconic programmingstochastic variational inequality problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Portfolio theory (91G10)

Uses Software

• SUTIL

Cites Work

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