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. - Elsevier, ISSN 0377-2217. - Vol. 216.2012, 2, p. 376-385
|
Publisher: |
Elsevier |
Subject: | Stochastic programming | Portfolio optimization | Penalty methods | Second order dominance | Stochastic approximation |
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