Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
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Publication:6132757
DOI10.1080/02331934.2022.2048382OpenAlexW4220725621MaRDI QIDQ6132757
Shuang Wang, Hong-Wei Zhang, Hua Guo, Li-Ping Pang
Publication date: 14 July 2023
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2022.2048382
stochastic programmingWasserstein metricdistributionally robust optimizationmultivariate second-order stochastic dominance
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