2003-06-18Buch DOI: 10.18452/8290
Optimization with stochastic dominance constraints
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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