Adjustable light robust optimization with second order stochastic dominance constraints
Xinzhi Ji, Ranran Guo, Wuyi Ye
| Year of publication: |
2024
|
|---|---|
| Authors: | Ji, Xinzhi ; Guo, Ranran ; Ye, Wuyi |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 73.2024, Art.-No. 102162, p. 1-17
|
| Subject: | Light robustness | Portfolio selection | Robust optimization | Second-order stochastic dominance | Portfolio-Management | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102162 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014580947