Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/7479
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fabian, CI | - |
dc.contributor.author | Mitra, G | - |
dc.contributor.author | Roman, D | - |
dc.date.accessioned | 2013-06-21T11:48:36Z | - |
dc.date.available | 2013-06-21T11:48:36Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Mathematical Programming, 130(1): 33 - 57, Nov 2011 | en_US |
dc.identifier.issn | 0025-5610 | - |
dc.identifier.uri | http://link.springer.com/article/10.1007%2Fs10107-009-0326-1# | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7479 | - |
dc.description | This is the post-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2011 Springer-Verlag | en_US |
dc.description.abstract | Second-order stochastic dominance (SSD) is widely recognised as an important decision criterion in portfolio selection. Unfortunately, stochastic dominance models are known to be very demanding from a computational point of view. In this paper we consider two classes of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyński (J Bank Finance 30:433–451, 2006), uses a SSD constraint, which can be expressed as integrated chance constraints (ICCs). The second, proposed by Roman et al. (Math Program, Ser B 108:541–569, 2006) uses SSD through a multi-objective formulation with CVaR objectives. Cutting plane representations and algorithms were proposed by Klein Haneveld and Van der Vlerk (Comput Manage Sci 3:245–269, 2006) for ICCs, and by Künzi-Bay and Mayer (Comput Manage Sci 3:3–27, 2006) for CVaR minimization. These concepts are taken into consideration to propose representations and solution methods for the above class of SSD based models. We describe a cutting plane based solution algorithm and outline implementation details. A computational study is presented, which demonstrates the effectiveness and the scale-up properties of the solution algorithm, as applied to the SSD model of Roman et al. (Math Program, Ser B 108:541–569, 2006). | en_US |
dc.description.sponsorship | This study was funded by OTKA, Hungarian National Fund for Scientific Research, project 47340; by Mobile Innovation Centre, Budapest University of Technology, project 2.2; Optirisk Systems, Uxbridge, UK and by BRIEF (Brunel University Research Innovation and Enterprise Fund). | en_US |
dc.language | English | - |
dc.language.iso | en | en_US |
dc.publisher | Springer-Verlag | en_US |
dc.subject | Stochastic programming | en_US |
dc.subject | Convex programming | en_US |
dc.subject | Portfolio theory | en_US |
dc.subject | Numerical methods | en_US |
dc.subject | Statistical methods | en_US |
dc.title | Processing second-order stochastic dominance models using cutting-plane representations | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s10107-009-0326-1 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Info. Systems, Comp & Maths | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Info. Systems, Comp & Maths/Maths | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Centre for the Analysis of Risk and Optimisation Modelling Applications | - |
Appears in Collections: | Publications Dept of Mathematics Research Papers Mathematical Sciences |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Fulltext.pdf | 272.46 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.