Robustness of optimal portfolios under risk and stochastic dominance constraints.
Jitka DupacováMilos KopaPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- stochastic dominance
- optimal portfolio
- portfolio optimization
- conditional expectation
- portfolio selection
- dynamic programming
- random variables
- fuzzy random variables
- chance constraints
- investment strategies
- constraint programming
- constraint satisfaction
- worst case
- decision variables
- risk management
- optimality criteria
- optimal solution
- decision making