A Semi-Infinite Programming Approach for Distributionally Robust Reward-Risk Ratio Optimization with Matrix Moments Constraints

Reward-risk ratio optimization is an important mathematical approach in finance. In this paper, we revisit the model by considering a situation where an investor does not have complete information on the distribution of the underlying uncertainty and consequently a robust action is taken against the risk arising from ambiguity of the true distribution. We propose … Read more

Exact Penalization, Level Function Method and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

Level function methods and cutting plane methods have been recently proposed to solve stochastic programs with stochastic second order dominance (SSD) constraints. A level function method requires an exact penalization setup because it can only be applied to the objective function, not the constraints. Slater constraint qualification (SCQ) is often needed for deriving exact penalization. … Read more