Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics - Singh, Arti; Dharmaraja, Selvamuthu (International transactions in operational research, 2020)
Keywords: autoregressive behavior; Autoregressive models; Computational geometry; Constraints; convex programming; Convexity; Economic models; execution cost; Mathematical programming; Mutual funds; Operations research; optimal trading; Optimization; Quadratic programming; Risk; risk aversion; stochastic dominance