Optimization with Stochastic Dominance Constraints
نویسندگان
چکیده
We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and show that the Lagrange multipliers corresponding to dominance constraints are concave nondecreasing utility functions. The models and results are illustrated on a portfolio optimization problem.
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ورودعنوان ژورنال:
- SIAM Journal on Optimization
دوره 14 شماره
صفحات -
تاریخ انتشار 2003