Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization

DOI10.1007/s00245-014-9236-6zbMath1296.90082OpenAlexW2083996107MaRDI QIDQ741144

Rudabeh Meskarian, Jörg Fliege, Huifu Xu

Publication date: 10 September 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/369666/2/Stochastic-Programming-with-Multivariate-Second-Order-Stochastic-Dominance-Constraints-with-Application-in-Portfolio-Optimization.pdf

zbMATH Keywords

portfolio optimizationpenalty methodmultivariate stochastic dominancesecond order dominanceSlater constraint qualificationlevel function method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (5)

A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures ⋮ Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints

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