Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods
Optimization and Control
2023-06-13 v1
Abstract
The paper addresses general constrained and non-linear optimization problems. For some of these notoriously hard problems, there exists a reformulation as an unconstrained, global optimization problem. We illustrate the transformation, and the performance of the reformulation for a non-linear problem in stochastic optimization. The problem is adapted from portfolio optimization with first order stochastic dominance constraints.
Cite
@article{arxiv.2306.06245,
title = {Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods},
author = {Vladimir Norkin and Alois Pichler},
journal= {arXiv preprint arXiv:2306.06245},
year = {2023}
}