Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods

2023/06/09 by Norkin, Vladimir, Pichler, Alois
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2306.06245

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.

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