Show simple item record

2008-07-02Buch DOI: 10.18452/8394
Processing Second-Order Stochastic Dominance models using cutting-plane representations
dc.contributor.authorFabian, Csaba I.
dc.contributor.authorMitra, Gautam
dc.contributor.authorRoman, Diana
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:18:01Z
dc.date.available2017-06-16T20:18:01Z
dc.date.created2008-07-08
dc.date.issued2008-07-02
dc.date.submitted2008-01-28
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9046
dc.description.abstractSecond-order stochastic dominance (SSD) is widely recognised as an important decision criteria in portfolio selection. Unfortunately, stochastic dominance models can be very demanding from a computational point of view. In this paper we consider two types of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyski (2006), uses a SSD constraint, which can be written as a set of integrated chance constraints (ICCs). The second, proposed by Roman, Darby-Dowman, and Mitra (2006) usesSSD through a multi-objective formulation with CVaR objectives. Cutting plane representations andalgorithms were proposed by Klein Haneveld and van der Vlerk (2006) for ICCs, and by Künzi-Bay and Mayer (2006) for CVaR minimization. These concepts are taken into consideration to proposerepresentations and solution methods for the above class of SSD based models. We describe a cuttingplane based solution algorithm and give implementation details. A computational study is presented,which demonstrates the effectiveness and the scale-up properties of the solution algorithm, as applied tothe SSD model of Roman, Darby-Dowman, and Mitra (2006).eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleProcessing Second-Order Stochastic Dominance models using cutting-plane representations
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10090085
dc.identifier.doihttp://dx.doi.org/10.18452/8394
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue10
local.edoc.container-erstkatid2936317-2

Show simple item record