Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization
In this paper we study optimization problems with multivariate stochastic dominance constraints where the underlying functions are not necessarily linear. These problems are important in multicriterion decision making, since each component of vectors can be interpreted as the uncertain outcome of a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2014-08-01.
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| Subjects: | |
| Online Access: | Get fulltext Get fulltext |