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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 53, 2004 - Issue 5-6: IX Workshop on Well-posedness in Optimization, Marseille-Luminy, 2003, Guest Editor: Michel Thera
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Original Articles

Semi-infinite probabilistic optimization: first-order stochastic dominance constrain

Darinka Dentcheva † Department of Mathematical Sciences, Stevens Institute of Technology, Castle Point on Hudson, Hoboken, NJ 07030, USA
&
Andrzej Ruszczyński Department of Management Science and Information Systems and Rutcor, Rutgers University, 94 Rockefeller Rd, Piscataway, NJ 08854, USACorrespondence[email protected]
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Pages 583-601 | Received 22 Dec 2003, Accepted 03 Jun 2004, Published online: 29 Oct 2009

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Christian Deffo Tassak, Jules Sadefo Kamdem, Louis Aimé Fono & Nicolas Gabriel Andjiga. (2017) Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns. Journal of the Operational Research Society 68:12, pages 1491-1502.
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Benjamin Armbruster & James Luedtke. (2015) Models and formulations for multivariate dominance-constrained stochastic programs. IIE Transactions 47:1, pages 1-14.
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PAVLO A. Krokhmal. (2007) Higher moment coherent risk measures. Quantitative Finance 7:4, pages 373-387.
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René Henrion. (2006) Some remarks on value-at-risk optimization. International Journal of Management Science and Engineering Management 1:2, pages 111-118.
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Vladimir Norkin & Alois Pichler. Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods. Optimization 0:0, pages 1-34.
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Xinling Xiao. (2014) Stochastic Dominance under the Nonlinear Expected Utilities. Mathematical Problems in Engineering 2014, pages 1-6.
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Yongchao Liu & Huifu Xu. (2012) Stability analysis of stochastic programs with second order dominance constraints. Mathematical Programming 142:1-2, pages 435-460.
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Andrey Lizyayev. (2012) Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements. Annals of Operations Research 196:1, pages 391-410.
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Andrey Lizyayev & Andrzej Ruszczyński. (2012) Tractable Almost Stochastic Dominance. European Journal of Operational Research 218:2, pages 448-455.
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Pavlo Krokhmal, Michael Zabarankin & Stan Uryasev. (2011) Modeling and optimization of risk. Surveys in Operations Research and Management Science 16:2, pages 49-66.
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Darinka Dentcheva, Gregory J. StockLudmyla Rekeda. (2011) Mean-risk tests of stochastic dominance. Statistics & Decisions 28:2, pages 97-118.
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Nilay Noyan & Andrzej Ruszczyński. (2007) Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Mathematical Programming 114:2, pages 249-275.
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James Luedtke. (2008) New Formulations for Optimization under Stochastic Dominance Constraints. SIAM Journal on Optimization 19:3, pages 1433-1450.
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G?bor Rudolf & Andrzej Ruszczy?ski. (2008) Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods. SIAM Journal on Optimization 19:3, pages 1326-1343.
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Darinka Dentcheva, René Henrion & Andrzej Ruszczyński. (2007) Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints. SIAM Journal on Optimization 18:1, pages 322-337.
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Nilay Noyan, G?bor Rudolf & Andrzej Ruszczy?ski. (2006) Relaxations of linear programming problems with first order stochastic dominance constraints. Operations Research Letters 34:6, pages 653-659.
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Darinka Dentcheva & Andrzej Ruszczyński. (2006) Inverse stochastic dominance constraints and rank dependent expected utility theory. Mathematical Programming 108:2-3, pages 297-311.
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Darinka Dentcheva & Andrzej Ruszczy?ski. (2006) Portfolio optimization with stochastic dominance constraints. Journal of Banking & Finance 30:2, pages 433-451.
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Maziar Sahamkhadam & Andreas Stephan. (2022) Socially Responsible Multiobjective Optimal Portfolios. SSRN Electronic Journal.
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