SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Shuang Chen, Li-Ping Pang, Xue-Fei Ma, Dan Li
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Chen, Shuang ; Pang, Li-Ping ; Ma, Xue-Fei ; Li, Dan |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 84.2016, 1, p. 129-154
|
| Subject: | Stochastic variational inequality problem | Stochastic programming | Conic programming | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-016-0537-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673458