Multivariate robust second-order stochastic dominance and resulting risk-averse optimization-Reference-Cited by-同舟云学术

Multivariate robust second-order stochastic dominance and resulting risk-averse optimization

Published:2019-03-18 Issue:9 Volume:68 Page:1719-1747
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Chen Zhiping¹²,Mei Yu¹²,Liu Jia¹²

Affiliation:

1. Department of Computing Science, School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an, Shaanxi, People's Republic of China

2. Center for Optimization Technique and Quantitative Finance, Xi'an International Academy for Mathematics and Mathematical Technology, Xi'an, Shaanxi, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2019.1589467

Reference48 articles.

1. Stochastic Orders

2. Optimization with Stochastic Dominance Constraints

3. Portfolio optimization with stochastic dominance constraints

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