Portfolio optimization with stochastic dominance constraints

By Darinka Dentcheva †, Andrzej Ruszczynski. 2006

251 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3f21cbdcedd5b48104f5a4063dc3cc1bcb063aff

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Tito Homem-de-Mello
2. Gautam Mitra
3. Diana Roman
4. Victor Zverovich
5. Güzin Bayraksan
6. Csaba I. Fábián

In Finance

1. Tito Homem-de-Mello
2. Gautam Mitra
3. Diana Roman
4. Victor Zverovich
5. Güzin Bayraksan
6. Csaba I. Fábián

In Management Science and Operations Research

1. Tito Homem-de-Mello
2. Gautam Mitra
3. Diana Roman
4. Victor Zverovich
5. Güzin Bayraksan
6. Csaba I. Fábián
7. Emily L. Tucker
8. Karmel S. Shehadeh

Citations in the corpus

• Monte Carlo sampling-based methods for stochastic optimization (2014, background): “This issue is circumvented when the random variable Y has finitely many outcomes y 1 , . . . , y r ; in that case, Dentcheva and Ruszczy´nski [58] show that it suffices to write the constraints in (47) only for η = y j , j = 1, . . . , r, thus yielding a problem with finitely many expected-value con”
• An enhanced model for portfolio choice with SSD criteria: a constructive approach (2011, methodology): “Dentcheva and Ruszczyński (2006) transform (23) into a set of linear constraints by introducing new variables to represent positive parts.”