Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests.
Markku KallioNasim Dehghan HardoroudiPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- portfolio optimization
- stochastic dominance
- random variables
- robust optimization
- portfolio management
- theoretical framework
- portfolio selection
- problems involving
- factor analysis
- stock price
- mathematical programming
- bi objective
- risk management
- stock market
- decision making
- stock exchange
- probabilistic model
- multi objective
- expert systems