Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints

DOI10.1080/02331931003696350zbMath1218.90143OpenAlexW2034630397MaRDI QIDQ3577834

Ruszczyński, Andrzej, Dentcheva, Darinka

Publication date: 26 July 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331931003696350

zbMATH Keywords

portfolio optimizationstochastic dominanceLorenz curveconditional value-at-riskcutting plane methods

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15) Programming in abstract spaces (90C48)

Related Items (16)

Analytic center cutting plane methods for variational inequalities over convex bodies ⋮ Cut generation for optimization problems with multivariate risk constraints ⋮ Biogeography-based optimization of the portfolio optimization problem with second order stochastic dominance constraints ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Optimization with Multivariate Stochastic Dominance Constraints ⋮ Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints ⋮ The deepest event cuts in risk-averse optimization with application to radiation therapy design ⋮ Tractable almost stochastic dominance ⋮ Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk ⋮ Novel approaches for portfolio construction using second order stochastic dominance ⋮ A general test for SSD portfolio efficiency ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

Cites Work

• Integrated chance constraints: reduced forms and an algorithm
• Computational aspects of minimizing conditional value-at-risk
• Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
• A note on stochastic dominance and inequality measures
• Inverse stochastic dominance constraints and rank dependent expected utility theory
• Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
• Optimization with Stochastic Dominance Constraints
• The Dual Theory of Choice under Risk
• Dual Stochastic Dominance and Related Mean-Risk Models
• A General Definition of the Lorenz Curve

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