Biogeography-Based Optimization of the Portfolio Optimization Problem with Second Order Stochastic Dominance Constraints
Author:
Publisher
MDPI AG
Subject
Computational Mathematics,Computational Theory and Mathematics,Numerical Analysis,Theoretical Computer Science
Link
http://www.mdpi.com/1999-4893/10/3/100/pdf
Reference28 articles.
1. Portfolio Selection;Markowitz;J. Financ.,1952
2. Mean-Risk Analysis with Risk Associated with Below-Target Returns;Fishburn;Am. Econ. Rev.,1975
3. Optimization with Stochastic Dominance Constraints
4. Portfolio optimization with stochastic dominance constraints
5. Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
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