An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management

Laureano F. Escudero; Juan Francisco Monge; Dolores Romero Morales

Year of publication:	2015
Authors:	Escudero, Laureano F. ; Monge, Juan Francisco ; Romero Morales, María Dolores
Published in:	Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 58.2015, p. 32-40
Subject:	Multiperiod stochastic mixed 0-1 linear programming \| Risk averse \| Stochastic dominance constraints \| Stochastic dynamic programming \| Cross-scenario constraints \| Mathematische Optimierung \| Mathematical programming \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Dynamische Optimierung \| Dynamic programming \| Risiko \| Risk \| Nutzenfunktion \| Utility function \| Risikoaversion \| Risk aversion