Meskarian, Rudabeh; Xu, Huifu; Fliege, Jörg - In: European Journal of Operational Research 216 (2012) 2, pp. 376-385
Inspired by the successful applications of the stochastic optimization with second order stochastic dominance (SSD) model in portfolio optimization, we study new numerical methods for a general SSD model where the underlying functions are not necessarily linear. Specifically, we penalize the SSD...