SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization.

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Bibliographic Details
Title:	SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization.
Authors:	Chen, Shuang¹, chenshuang0707@163.com, Pang, Li-Ping², Ma, Xue-Fei³, Li, Dan¹
Source:	Mathematical Methods of Operations Research; Aug2016, Vol. 84 Issue 1, p129-154, 26p, 3 Charts, 7 Graphs
Database:	Applied Science & Technology Source

Description
ISSN:	14322994
DOI:	10.1007/s00186-016-0537-1