Aspects of optimization with stochastic dominance
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DOI: 10.1007/s10479-016-2299-9
Abstract: We consider stochastic optimization problems with integral stochastic order constraints. This problem class is characterized by an infinite number of constraints indexed by a function space of increasing concave utility functions. We are interested in… read more here.
Keywords: aspects optimization; optimization stochastic; problem class; stochastic dominance ... See more keywords
On the multi-dimensional portfolio optimization with stochastic volatility
Sign Up to like & getrecommendations! Published in 2017 at "Quaestiones Mathematicae"
DOI: 10.2989/16073606.2017.1369468
Abstract: Abstract In a recent paper by Mnif [18], a solution to the portfolio optimization with stochastic volatility and constraints problem has been proposed, in which most of the model parameters are time-homogeneous. However, there are… read more here.
Keywords: stochastic volatility; volatility; time; portfolio optimization ... See more keywords