Processing second-order stochastic dominance models using cutting-plane representations

DOI10.1007/s10107-009-0326-1zbMath1229.90108OpenAlexW2099072671MaRDI QIDQ647395

Diana Roman, Csaba I. Fábián, Gautam Mitra

Publication date: 23 November 2011

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7479

zbMATH Keywords

cutting planeportfolio selectionsecond-order stochastic dominanceintegrated chance constraintmulti-objective formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Convex programming (90C25) Stochastic programming (90C15) Portfolio theory (91G10)

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Uses Software

• AMPL

Cites Work

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