Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
Year of publication: |
2012
|
---|---|
Authors: | Meskarian, Rudabeh ; Xu, Huifu ; Fliege, Jörg |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 216.2012, 2 (16.1.), p. 376-385
|
Subject: | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Numerisches Verfahren | Numerical analysis |
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