Processing second-order stochastic dominance models using cutting-plane representations
نویسندگان
چکیده
منابع مشابه
Processing second-order stochastic dominance models using cutting-plane representations
Second-order stochastic dominance (SSD) is widely recognised as an important decision criterion in portfolio selection. Unfortunately, stochastic dominance models are known to be very demanding from a computational point of view. In this paper we consider two classes of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyński (2006), uses a SSD constraint, wh...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2009
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-009-0326-1