## Optimization with stochastic dominance constraints

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by
Darinka Dentcheva
,
Andrzej Ruszczyński

Venue: | SIAM Journal on Optimization |

Citations: | 32 - 5 self |

### BibTeX

@ARTICLE{Dentcheva_optimizationwith,

author = {Darinka Dentcheva and Andrzej Ruszczyński},

title = {Optimization with stochastic dominance constraints},

journal = {SIAM Journal on Optimization},

year = {},

pages = {548--566}

}

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### Abstract

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration is provided.