TY - JOUR
T1 - Optimization with stochastic dominance constraints
AU - Dentcheva, Darinka
AU - Ruszczyński, Andrzej
PY - 2004
Y1 - 2004
N2 - We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and 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.
AB - We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and 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.
KW - Duality
KW - Optimality conditions
KW - Partial orders
KW - Stochastic dominance
KW - Stochastic programming
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U2 - 10.1137/S1052623402420528
DO - 10.1137/S1052623402420528
M3 - Article
AN - SCOPUS:2442569037
SN - 1052-6234
VL - 14
SP - 548
EP - 566
JO - SIAM Journal on Optimization
JF - SIAM Journal on Optimization
IS - 2
ER -