SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
Crossref DOI link: https://doi.org/10.1007/s00186-016-0537-1
Published Online: 2016-03-26
Published Print: 2016-08
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Chen, Shuang
Pang, Li-Ping
Ma, Xue-Fei
Li, Dan
Funding for this research was provided by:
the Natural Science Foundation of China (11171049)
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