Portfolio optimization based on almost second-degree stochastic dominance
Chunling Luo, Piao Chen, Patrick Jaillet
| Year of publication: |
2025
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|---|---|
| Authors: | Luo, Chunling ; Chen, Piao ; Jaillet, Patrick |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 71.2025, 8, p. 7029-7055
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| Subject: | portfolio optimization | cutting-plane algorithm | almost stochastic dominance | quadratically constrained programming | stochastic dominance constraints | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.01092 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015447619