Andrzej Ruszczynski, Rutgers University
(SPEPS)
SIAM - Society for Industrial and Applied Mathematics (Philadelphia, Pa.)
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Darinka Dentcheva, Stevens Institute of Technology Andrzej Ruszczynski, Rutgers University | Title: | Optimization with stochastic dominance constraints |
| Date of Acceptance: | 18.06.2003 |
| Submission Date: | 15.06.2003 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | stochastic dominance, Stochastic programming, duality, partial orders, optimality conditions |
| Appeared in: |
SIAM journal on optimization 2 (Vol. 14, 2003)
SIAM - Society for Industrial and Applied Mathematics (Philadelphia, Pa.) |
| Metadata export:
To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for theses models and we show that the Lagrange multipliers corresponding to dominance constraints are concave nondecreasing utility functions. The models and results are illustrated on a portfolio optimization problem. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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