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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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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
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Header DbId: aci
DbLabel: Applied Science & Technology Source
An: 117380056
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PubType: Academic Journal
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  Data: 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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  Data: <searchLink fieldCode="JN" term="%22Mathematical+Methods+of+Operations+Research%22">Mathematical Methods of Operations Research</searchLink>; Aug2016, Vol. 84 Issue 1, p129-154, 26p, 3 Charts, 7 Graphs
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        Value: 10.1007/s00186-016-0537-1
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      – Code: eng
        Text: English
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        StartPage: 129
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      – TitleFull: 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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            NameFull: Chen, Shuang
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            NameFull: Pang, Li-Ping
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            NameFull: Ma, Xue-Fei
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              Text: Aug2016
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