Articles with "ssd constraints" as a keyword



Photo by leahhetteberg from unsplash

Long-term individual financial planning under stochastic dominance constraints

Sign Up to like & get
recommendations!
Published in 2020 at "Annals of Operations Research"

DOI: 10.1007/s10479-019-03253-8

Abstract: We analyse an optimal goal-based households’ asset-liability management problem characterised by a real estate target and a retirement goal over a long-term planning horizon. The problem is formulated as a multistage stochastic program and we… read more here.

Keywords: stochastic dominance; dominance; term individual; long term ... See more keywords
Photo by cytonn_photography from unsplash

Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk

Sign Up to like & get
recommendations!
Published in 2020 at "Journal of Industrial and Management Optimization"

DOI: 10.3934/jimo.2019071

Abstract: A portfolio optimization model with relaxed second order stochastic dominance (SSD) constraints is presented. The proposed model uses Conditional Value at Risk (CVaR) constraints at probability level \begin{document}$ \beta\in(0,1) $\end{document} to relax SSD constraints. The… read more here.

Keywords: optimization; document; portfolio optimization; value ... See more keywords