Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric - Hosseini-Nodeh, Zohreh; Khanjani-Shiraz, Rashed; Pardalos, Panos M. (Information sciences, 2022)
Keywords: Ambiguity; Cutting surface method; Portfolio optimization; Second-order conic programming; Second-order stochastic dominance; Semi-infinite programming; Semidefinite programming; Wasserstein metric; Portfolio optimization; Semi-infinite programming; Semidefinite programming; Second-order stochastic dominance; Wasserstein metric; Second-order conic programming; Cutting surface method; Ambiguity