Processing second-order stochastic dominance models using cutting-plane representations
Open Access
- 10 November 2009
- journal article
- Published by Springer Science and Business Media LLC in Mathematical Programming
- Vol. 130 (1), 33-57
- https://doi.org/10.1007/s10107-009-0326-1
Abstract
No abstract availableKeywords
This publication has 29 references indexed in Scilit:
- Risk optimization with p-order conic constraints: A linear programming approachEuropean Journal of Operational Research, 2010
- Handling CVaR objectives and constraints in two-stage stochastic modelsEuropean Journal of Operational Research, 2008
- Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to financeJournal of Risk, 2008
- Solving two-stage stochastic programming problems with level decompositionComputational Management Science, 2006
- Integrated Chance Constraints: Reduced Forms and an AlgorithmComputational Management Science, 2006
- Portfolio optimization with stochastic dominance constraintsJournal of Banking & Finance, 2006
- Computational aspects of minimizing conditional value-at-riskComputational Management Science, 2006
- AMPL: A Mathematical Programing LanguagePublished by Springer Science and Business Media LLC ,1989
- Duality in Stochastic Linear and Dynamic ProgrammingPublished by Springer Science and Business Media LLC ,1986
- UTILITY THEORY FOR DECISION MAKINGPublished by Defense Technical Information Center (DTIC) ,1970