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Research Output 1974 2019

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Chapter
2015
3 Citations (Scopus)

Risk-averse portfolio optimization via stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Jan 1 2015, Handbook of Financial Econometrics and Statistics. Springer New York, p. 2281-2302 22 p.

Rutgers, The State University, Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceedingChapter

Stochastic Dominance
Portfolio Optimization
Utility Function
Formulation
Neumann function
2011
1 Citation (Scopus)

Portfolio optimization with risk control by stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Jan 1 2011, International Series in Operations Research and Management Science. Springer New York LLC, Vol. 150. p. 189-211 23 p. (International Series in Operations Research and Management Science; vol. 150).

Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceedingChapter