Open AccessPortfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
Author(s) -
Meng Xue,
Yun Shi,
Hailin Sun
Publication year - 2019
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2019071
Subject(s) - cvar , portfolio optimization , portfolio , mathematical optimization , expected shortfall , stochastic dominance , relaxation (psychology) , risk measure , mathematics , computer science , economics , psychology , social psychology , financial economics
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