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. |
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| 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 |
| ISSN: | 14322994 |
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| DOI: | 10.1007/s00186-016-0537-1 |
