TY - JOUR
T1 - Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
AU - Dentcheva, Darinka
AU - Ruszczyński, Andrzej
PY - 2010/4
Y1 - 2010/4
N2 - We propose new cutting plane methods for solving optimization problems with second-order stochastic dominance constraints. The methods are based on the inverse formulation of stochastic dominance constraints using Lorenz functions. Convergence of the methods is proved for general probability distributions. For general discrete distributions convergence is finite. Numerical experiments on a portfolio problem confirm efficiency of the methods.
AB - We propose new cutting plane methods for solving optimization problems with second-order stochastic dominance constraints. The methods are based on the inverse formulation of stochastic dominance constraints using Lorenz functions. Convergence of the methods is proved for general probability distributions. For general discrete distributions convergence is finite. Numerical experiments on a portfolio problem confirm efficiency of the methods.
KW - Conditional value-at-risk
KW - Cutting plane methods
KW - Lorenz curve
KW - Portfolio optimization
KW - Stochastic dominance
UR - http://www.scopus.com/inward/record.url?scp=77952475278&partnerID=8YFLogxK
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U2 - 10.1080/02331931003696350
DO - 10.1080/02331931003696350
M3 - Article
AN - SCOPUS:77952475278
SN - 0233-1934
VL - 59
SP - 323
EP - 338
JO - Optimization
JF - Optimization
IS - 3
ER -