Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization.
Rudabeh MeskarianHuifu XuJörg FliegePublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- numerical methods
- portfolio optimization
- risk management
- portfolio selection
- problems involving
- portfolio management
- partial differential equations
- differential equations
- stock market
- factor analysis
- higher order
- high order
- bi objective
- optimization methods
- object recognition
- stock price
- linear programming
- long term