Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization

Rudabeh Meskarian; Huifu Xu; Jörg Fliege

Year of publication:	2012
Authors:	Meskarian, Rudabeh ; Xu, Huifu ; Fliege, Jörg
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 216.2012, 2 (16.1.), p. 376-385
Subject:	Mathematische Optimierung \| Mathematical programming \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Numerisches Verfahren \| Numerical analysis

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